MFDS - Nasdaq Trader
Transcript of MFDS - Nasdaq Trader
Nasdaq Fund Network
Data Service
Version: 2018-4
Revised: Oct 3, 2018
Distributed by:
Nasdaq Global Information Services
805 King Farm Boulevard, Suite 200
Rockville, MD 20850
Phone: +1 301 978 5307
E-mails: [email protected]
Nasdaq Information, LLC NFN Data Service Interface Specifications
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............................................ 1 Version: 2018-3 ..................................................................................................... 1 Revised: Oct 4, 2018 ............................................................................................... 1 Distributed by: ....................................................................................................... 1 Nasdaq Global Information Services .......................................................................... 1 805 King Farm Boulevard, Suite 200 ......................................................................... 1 Rockville, MD 20850 ............................................................................................... 1 Phone: +1 301 978 5307 ......................................................................................... 1 E-mails: [email protected] .......................................................................... 1 [email protected] ............................................................................................. 1
1.0 Introduction .................................................................................................... 5 1.1 Background Information ................................................................................ 5 1.2 Data Entitlement ........................................................................................... 5 1.3 Connectivity Options ..................................................................................... 5 1.4 Upcoming Release – NFN Symbol Directory ...................................................... 5 1.5 Previous Release – NFN Instrument Type and Instrument Code .......................... 6 1.6 Document Scope ........................................................................................... 6
2.0 To ensure that firms receive the most up-to-date information on Nasdaq data feed
products – including data format, processing and bandwidth changes, direct data feed
subscribers are advised to sign up for automatic e-mail notifications via the Nasdaq Trader
website. At a minimum, NFN Data Service data feed subscribers should select news types of
“Data News” and “Data Technical News” for The Nasdaq Market Center. NFN Data Service
subscribers may also want to subscribe to “System Alerts – General” for real-time
information about Nasdaq system outages. Transmission Characteristics .......................... 7 2.1 Bandwidth Requirements ............................................................................... 7 2.2 Transmission Protocol .................................................................................... 7
2.2.1 Protocol Overview .................................................................................. 7 2.2.2 IP Multicast Addresses ............................................................................ 8
2.3 Transmission Block ........................................................................................... 8 2.4 Field Descriptions .......................................................................................... 9
2.4.1 IP Header Fields ..................................................................................... 9 2.4.2 UDP Header Fields ................................................................................ 10 2.4.3 UDP Data Fields ................................................................................... 10
2.5 Character Set ............................................................................................. 10 2.6 Retransmission Capability ............................................................................ 10
3.0 Message Header ............................................................................................. 13 3.1 Message Category ....................................................................................... 13 3.2 Message Type............................................................................................. 13 3.3 Session Identifier ........................................................................................ 14 3.4 Retransmission Requester ............................................................................ 14 3.5 Message Sequence Number .......................................................................... 15 3.6 Originator ID .............................................................................................. 15 3.7 Date/Time.................................................................................................. 16 3.8 Test Symbol Flag ........................................................................................ 16
4.0 Data Formats ................................................................................................. 17
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4.1 NFN Valuation Message Format - Mutual Funds, Unit Investment Trusts (UITs),
Annuities, Structured Products, Alternative Investment Products (AIPs), NextShares
Exchange Traded Managed Funds, Collective Investment Trust (CITs), Managed Accounts,
Separate Accounts, Hedge Funds, and Demand Deposit Accounts ............................... 17 4.2 NFN Valuation Message – Money Market Funds ............................................... 18 133 Bytes ............................................................................................................ 18 4.3 NFN Distributions ........................................................................................ 19 4.3.1 NFN Dividends / Income Distributions ........................................................ 20 4.3.2 NFN Capital Distributions .......................................................................... 21 4.4 Administrative Messages .............................................................................. 22 4.4.1 General Administrative (Free-Form Text) Message ....................................... 22 4.4.2 NFN Daily Statistics ................................................................................. 23 4.4.3 NFN Symbol Directory .............................................................................. 24 4.4.3.1. NFN Symbol Directory Message with Expanded Instrument Code ............... 24
5.0 Control Messages ........................................................................................... 24 6.0 Please note that the NFN control messages will not be modified in the second quarter
2011 release. Field Occurrence Matrix ......................................................................... 24 7.0 Field Definitions ............................................................................................. 27 8.0 Control Messages ........................................................................................... 54
8.1 Overview ................................................................................................... 54 8.2 Control Message Description......................................................................... 54 8.2.1 NFN Session Close ................................................................................... 54 8.2.2 NFN Session Open ................................................................................... 54 8.2.3 Start Of Day ........................................................................................... 55 8.2.4 End Of Day ............................................................................................. 55 8.2.5 End Of Retransmission Requests ............................................................... 55 8.2.6 Message Sequence Number Reset.............................................................. 55 8.2.7 Start of Summary Spin ............................................................................. 56 8.2.8 End of Summary Spin .............................................................................. 56 8.2.9 Line Integrity .......................................................................................... 56 8.2.10 End Of Transmissions ............................................................................... 56
9.0 Message Processing Guidelines – NFN Valuation Data ......................................... 57 9.1 Data Description ......................................................................................... 57 9.2 Scope of Data ............................................................................................. 57 9.3 NFN Eligibility Standards .............................................................................. 59 9.4 Fund Symbology ......................................................................................... 59 9.5 Message Processing .................................................................................... 61 9.5.1 Hours of Operation .................................................................................. 61 9.5.2 Intra-Day Updates for Valuation Data......................................................... 61 9.5.3 NFN Summary Spin Transmissions –Valuation Data ..................................... 64 9.5.4 Intra-Day Updates for Corporate Action Data .............................................. 65 9.5.5 NFN Summary Spin Transmission – Corporate Action Data ........................... 65 9.5.6 Net Change Calculation ............................................................................ 65 9.6 Fund Display Guidelines ............................................................................... 66
10.0 General Administrative Messages ..................................................................... 67 10.1 General Administrative Messages .................................................................. 67 10.2 Mutual Fund Statistics ................................................................................. 68 10.3 NFN Symbol Directory ................................................................................. 68
11.0 Format Release and Testing Information ........................................................... 68 11.1 Release Notification ..................................................................................... 68 11.2 Types of Testing ......................................................................................... 70 1.1 Identification of test data ............................................................................. 70
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Appendix A – Glossary of Terms ............................................................................. 71 Appendix B –Transmission Schedule ........................................................................ 75 Appendix C – Date/Time Translation Table ............................................................... 77 Appendix D – Intentionally Left Blank ...................................................................... 80 Appendix E – Version Control Information ................................................................ 81
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1.0 Introduction
1.1 Background Information
Operated by Nasdaq Information, LLC, the Nasdaq Fund Network (NFN) facilitates the
collection and dissemination of price and earnings information for U.S. investment
companies. Nasdaq disseminates data from the NFN system on the Nasdaq Fund Network
Data Service. Specifically, Nasdaq disseminates the following data for NFN securities via NFN
Data Service:
For Mutual Funds, NFN Data Service carries daily net asset values (NAVs) and
offer/market prices for those instruments registered with NFN. NFN Data Service also
supports periodic reporting of dividend, stock dividends and capital gains data for
NFN instruments.
For Money Market Funds, NFN Data Service carries average maturity and 7-day yield
data for those instruments registered with NFN.
For Unit Investment Trusts (UITs), NFN Data Service provides offer price and NAV
data as well as other valuation information for debt and equity instruments
registered with NFN.
1.2 Data Entitlement
Nasdaq has instituted distributor fees for redistributors of NFN Data Service data. Please
refer to the Nasdaq Global Data Products Price List on the Nasdaq Trader website for details.
1.3 Connectivity Options
Nasdaq offers direct access to the NFN Data Service data feeds via its U.S. data centers.
Firms may connect to U.S. data centers via the co-location facility, extranets or direct
connectivity providers.
In 2014, Nasdaq introduced a web delivery option for the NFN Data Service data content.
For details, please refer to the NFN Data Service web service specification.
1.4 Upcoming Release – NFN Symbol Directory
Nasdaq will implement the new NFN message format as a hot cut release on or about
Monday, August 20, 2018. For hot cut releases, NFN direct data feed subscribers must be
ready to handle the new message format on release day in order to prevent data loss.
For this release, the NFN message data mapping will be:
Message Name
Instrument Code – To Be
Supported Through
August 17, 2017
Expanded Instrument Code
To Be Released On or About
August 20, 2018
Message
Category
Message Type Message
Category
Message Type
NFN Symbol
Directory A J A K
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For investor transparency reasons, Nasdaq strongly recommends that NFN Data Service
redistributors provide the Instrument Registration and Instrument Code data fields to
downstream clients as well.
Nasdaq will be adding Demand Deposit Accounts to the NFN listing system.
Code Instrument Type
DD Demand Deposit Account
Code Instrument Code
5 Demand Deposit Account
1.5 Previous Release – NFN Instrument Type and Instrument Code
On March 26, 2018, Nasdaq will release 4 new Instrument Types and 4 new Instrument
Codes. These new codes allow our customers to list Collective Investment Trust, Managed
Accounts, Separate Accounts, and Hedge Funds. The new Instrument Types allow for NFN
customers to list Collective Investment Trust, Separately Managed Accounts (SMA), Unified
Managed Accounts (UMA), and Separate Accounts. The Fund Type for Hedge Fund will not
change.
Code Instrument Type
CT Collective Investment Trust (CIT)
MA Managed Account
SA Separate Account
HF Hedge Fund
Code Instrument Code
1 Collective Investment Trust (CIT)
2 Separately Managed Account
3 Unified Managed Account
4 Separate Account
Based on client demand, Nasdaq is modifying NFN eligibility standards to allow both
registered and non-registered instruments to use the valuation service.
1.6 Document Scope
This data feed interface specifications document defines the communications interface and
message format requirements for the direct connect subscribers to the NFN Data Service
product. All time references in this data feed interface specification are stated in Eastern
Standard/Daylight Time.
This document was updated on April 24, 2018. Please refer to Appendix E of this
document for version control information.
Nasdaq reserves the right to add, delete, or modify any of the message formats outlined in
this document as needed. As noted above, direct data feed subscribers are required to code
their systems to handle data feed format changes. In advance of each NFN product
changes, Nasdaq will post a news item on the Nasdaq Trader web site detailing the data
feed format change and release schedule.
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2.0 To ensure that firms receive the most up-to-date information
on Nasdaq data feed products – including data format, processing and bandwidth changes, direct data feed
subscribers are advised to sign up for automatic e-mail
notifications via the Nasdaq Trader website. At a minimum, NFN Data Service data feed subscribers should select news
types of “Data News” and “Data Technical News” for The Nasdaq Market Center. NFN Data Service subscribers may also
want to subscribe to “System Alerts – General” for real-time information about Nasdaq system outages. Transmission
Characteristics
2.1 Bandwidth Requirements
The current bandwidth allocation for the NFN Data Service data feed is:
Data Feed Channel Bandwidth Allocation
(Per Multicast Group)
NFN Data Service 500 Kbps
As noted below, Nasdaq broadcasts two (a primary and a back-up) multicast groups for its
data feeds. Please note that Nasdaq reserves the right to modify the bandwidth allocation
for these IP calls as system capacity dictates. Extranet customers are required to maintain
sufficient network capacity to handle the Nasdaq data feed products ordered.
2.2 Transmission Protocol
2.2.1 Protocol Overview
Regardless of network option, Nasdaq data feed transmissions will be transmitted in a non-
interactive simplex mode using Internet Protocol (IP) multicast. A broadcast transmission
with no answer back will be employed. A version of Cisco’s Protocol Independent Multicast
(PIM) routing protocol will be used to route multicast packets through the network. All
transmissions will be in standard ASCII code with 7 data bits (8th bit is zero).
Nasdaq data feeds are designed to adhere to Request for Comment (RFC) 1112 standard
from The NIC Group for IP multicast protocol. This RFC states:
IP multicasting is the transmission of an IP datagram to a “host group”, a set of zero
or more hosts identified by a single IP destination address. A multicast datagram is
delivered to all members of its destination host group with the same “best-efforts”
reliability as regular unicast IP datagrams, i.e., the datagram is not guaranteed to
arrive intact at all members of the destination group or in the same order relative to
other datagrams.
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To minimize data loss, Nasdaq provides primary and back-up groups for its data feed
services. Nasdaq strongly recommends that all direct data feed subscribers program their
systems to process both the primary and back-up groups.
The data messages are identical for two groups with the exception of the following UDP
message header field values: Source IP Address, Destination IP Address, UDP Source Port
Number, and UDP Destination Port Number.
The purpose of two host groups is to provide an extra layer of data redundancy within the
extranet and end-user networks. By reading and utilizing both multicast groups into their
production environment, IP multicast customers can help to protect themselves against
network anomalies which could cause interruptions in data flow. To minimize data loss,
Nasdaq strongly recommends that data feed customers process both the primary and back-
up groups within their networks.
2.2.2 IP Multicast Addresses
Each Nasdaq IP multicast stream will be assigned a unique Class D host group address for
transmission via the extranets. The Class D addresses have been registered by Nasdaq with
The NIC Group. Please refer to UDP/IP Addresses page on the Nasdaq Trader website for
the current NFN Data Service address and port assignments.
2.3 Transmission Block
Messages sent to data feed recipients are blocked to provide more efficient line utilization.
Each block contains a maximum of 1000 data characters. Messages may not span blocks.
Each message in a block ends in a Unit Separator (US) except the last message, which ends
in an End of Text (ETX). With the exception of certain messages (e.g. Control messages),
each message sent over NFN Data Service contains a fixed format header and a text section
that has a format and length that varies for each message type.
DATA BLOCK FORMAT
UDP/IP
Headers
S
O
H
Message 1
header and
text
U
S
Message 2
header and
text
U
S
Message n
header
and text
E
T
X
1000 Byte Block (Max) from SOH to ETX
UDP/IP Headers
Each IP datagram includes the IP and UDP headers as well as the block text data. The
datagram fields can be read left to right starting at the top and working your way down
through the datagram.
0 16 32
VERSION
4 bits
HEADER
LENGTH
4 bits
TYPE OF
SERVICE
8 bits
TOTAL LENGTH (in bytes)
16 bits
IDENTIFICATION
16 bits
FLAGS
3 bits
FRAGMENT OFFSET
13 bits
TIME TO LIVE
8 bits
PROTOCOL
8 bits
IP HEADER CHECKSUM
16 bits
IP
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SOURCE IP ADDRESS
32 bits
DESTINATION IP ADDRESS
32 bits
UDP SOURCE PORT NUMBER
16 bits
UDP DESTINATION PORT NUMBER
16 bits
UDP LENGTH
16 bits
UDP CHECKSUM
16 bits
UDP Data
(BLOCK DATA < 1000 BYTES)
2.4 Field Descriptions
2.4.1 IP Header Fields
The following field descriptions pertain to the IP header:
VERSION – 4 bit field used to define the current version of the IP protocol for
transmission. The value will be set to 4.
HEADER LENGTH – 4 bit field to define the number of 32 bit words in the IP
header portion of the datagram. For multicast packets being generated by
NASDAQ, the value will be set to 5.
TYPE OF SERVICE – 8 bit field with the first 3 bits generally ignored by most
network equipment. The next 5 bits are set to zero. Based on this description this
field will always have the value of zero (0) for all multicast packets.
TOTAL LENGTH – 16 bit field contains the length in bytes of the entire IP
datagram (including UDP header). Since the maximum length of the block text is
1000 bytes, the maximum value for this field is 1028.
IDENTIFICATION FIELD – 16 bit field contains a value that is incremented by
one for each packet sent by the system. Not supported for UDP/IP packets.
FLAGS AND FRAGMENT OFFSET – Combined 16 bit field is only used when an
IP datagram is fragmented. Not supported for UDP/IP packets.
TIME TO LIVE (TTL) – 8 bit field contains a value that determines the number
of routers that a datagram can pass through. Each router that forwards the
datagram will decrement this value by one; when it reaches zero, the router
throws it away. It is initially set to 32 by the multicast source systems.
PROTOCOL – 8 bit field contains a value representing the next level
encapsulated protocol. Since multicast uses UDP, the value is set to 0x17, which
is 23 decimals.
HEADER CHECKSUM – 16 bit field contains a checksum made up of the IP
header fields only. The calculation is based on the one’s complement sum of the
header broken into 16 bit words.
IP SOURCE ADDRESS – 32 bit field contains the Registered Class C address of
the multicast datagram source system. Address may vary depending on origin
(system and location) of Nasdaq data. Nasdaq strongly warns customers against
coding their systems for a particular IP source address. Nasdaq will not notify
data feed customers in advance when it changes the origin of data.
IP DESTINATION ADDRESS – 32 bit field contains the Registered Class D
address for each IP Multicast Group. Please see the table above for a list of
current multicast groups.
UDP
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2.4.2 UDP Header Fields
The following field descriptions pertain to the UDP header:
UDP SOURCE PORT NUMBER – 16 bit field identifies the Port16 address for each
IP multicast group. Please see section 3.1 for a list of the current source port
numbers.
UDP DESTINATION PORT NUMBER – 16 bit field identifies the Port10 address
for each IP multicast group. Please see section 3.1 for a list of the current
destination port numbers.
UDP LENGTH – 16 bit field contains the length in bytes of the UDP headers plus
the Data Block. The maximum value is 1008.
UDP CHECKSUM – 16 bit field contains a checksum made up of the UDP header
plus the Data Block. In addition, it includes the UDP pseudo header, which is
made up of selected fields from the IP headers such as Source Address, IP
Destination Address, Protocol, and UDP Length. The calculation is based on the
one’s complement sum of the datagram broken into 16 bit words.
2.4.3 UDP Data Fields
The following field descriptions pertain to the Data Block transmission:
SOH AND ETX – The start of a block of data will be indicated by the Start of
Header (SOH) control character. The end of the block will be signified by an End
of Text (ETX) control character.
US – The Unit Separator (US) character is utilized in message blocks with
multiple messages to signify the end of the preceding message but not the end of
the block.
BLOCK TEXT – The block text may consist of one or more messages. A message
may not span block boundaries. A message shall consist of a Message Header
and a Message Text. Each message in a block shall be delimited by a US
character except the last message, which will be delimited by an ETX character.
DATA FORMAT – Alphanumeric fields will be left justified and space (hex 20)
filled unless otherwise noted. Numeric fields will be right justified and zero (hex
30) filled unless otherwise noted.
2.5 Character Set
All transmissions will be in standard ASCII code: 7 data bits and the 8th bit always zero.
2.6 Retransmission Capability
The Nasdaq front-end processor will log messages transmitted to recipients. The message
formats are defined in subsequent sections of this document. This log will be accessible as a
record of messages sent, and will provide a full retransmission capability. Message types not
logged and therefore unavailable for retransmission include:
Message Type Value
T Line Integrity
In the event of a system problem, Nasdaq may also be unable to fulfill requests for
messages sent prior to the Message Sequence Number Reset or Intra-Day Quote Wipe-Out
control message.
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NFN Data Service retransmission requests may be made by placing a phone call to Nasdaq
Computer Operations at +1 203 926 3400 or by sending an electronic mail message to
[email protected]. Retransmission requests will only be honored during the period
from the Start of Day (Category C – Type I) message through the End of Retransmission
Request (Category C – Type K) message. The recipient can specify by message sequence
number which message range the recipient would like retransmitted.
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To ensure proper identification of each vendor, a line specific password must be supplied to
the operator taking the request. To request a retransmission, the firm must provide the
following information to Nasdaq Computer Operations:
Data Feed Subscriber’s Firm Name
Nasdaq-Assigned Retransmission Password
Missing Message Sequence Number(s)
Contact Name and Telephone Number
Retransmissions will be assigned a low priority in the outgoing message queue in order to
prevent any delay or interference with current message delivery. As with original
transmissions, retransmissions are broadcast to all direct connect subscribers on both
networks. It is the responsibility of the data feed recipient to ignore retransmitted
messages not intended for their firm. Retransmission messages can be identified by the
following attributes:
Message Blocking: Retransmission messages will never be mixed with current
messages in the same message block, but current message blocks and
retransmission blocks can be interspersed.
Message Sequence Number: The message header will contain the same
message sequence number as the original message. Please note that if the
Message Sequence Number is reset, no intra-day messages sent prior to the
reset control message can be retransmitted.
Retransmission Requester: The message header will contain the unique two-
character retransmission requester assigned to the intended recipient. Each firm
is given a unique two-character retransmission requester that they should code
for in its system. Refer to section 2.7 for more information on the retransmission
requester.
Date/Time: The message header will contain the same date and time stamp as
the original message.
To obtain the retransmission requester and passwords for your firm, please contact Nasdaq
Global Information Services at +1 301 978 5307 or [email protected].
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3.0 Message Header
All outbound messages shall begin with a message header that identifies the basic message
content and dissemination order of the NFN Data Service data element being published.
The Message Header is 22 bytes in length. The field definitions for the NFN Data Service
message header are outlined in the remainder of this section. Please note that alphabetic
and alphanumeric fields are left justified, space filled and numeric fields are right justified,
zero filled, unless otherwise specified.
The Message Header will consist of the following data fields:
Message
Category
Message Type Session
Identifier
Retransmission
Requester
Message
Sequence
Number
1 1 1 2 8
Originator
ID
Date/Time Test Symbol
Flag
1 7 1
3.1 Message Category
The Message Category is comprised of one alphabetic byte. This field, along with the
Message Type, identifies the message format to follow. The allowable values are as follows:
Code Description
A Administrative Messages
C Control Messages
F NFN Valuation Messages
3.2 Message Type
The Message Type is comprised of one alphanumeric byte. This field, along with the
Message Category, identifies the message format to follow.
The current allowable Message Category / Message Type combinations are:
Administrative Messages:
Message
Category Code
Message Type
Code
Message Format Description
A A General Administrative Message
(Free-Form Text)
A G NFN Daily Statistics
A J NFN Symbol Directory
Through August 17, 2018
A K NFN Symbol Directory with Expanded
Instrument Code as of August 20, 2018
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Control Messages (Defined in section 8 of this document):
Message
Category
Code
Message Type
Code
Message Format Description
C E NFN Session Close
C F NFN Session Open
C I Start of Day
C J End of Day
C K End of Retransmission Requests
C L Message Sequence Number Reset
C P Start of Summary Spin
C S End of Summary Spin
C T Line Integrity
C Z End of Transmissions
NFN Valuation Messages:
Message
Category Code
Message Type
Code
Message Format Description
F G NFN Valuation Message – Mutual Funds,
UITs, Annuities, Structured Products,
AIPs, NextShares, Collective Investment
Trusts, Managed Accounts, Separate
Accounts, Hedge Funds, Demand Deposit
Accounts
F I NFN Valuation Message – Money Market
Funds
NFN Corporate Action Messages:
Message
Category Code
Message Type
Code
Message Format Description
F W Dividends / Interest Report for all NFN
Instrument Types
F X Distributions for all NFN Instrument Types
3.3 Session Identifier
The Session Identifier is comprised of one alphabetic byte. This field indicates the market
session of the message to follow.
The current allowable values are as follows:
Code Description
A Session Independent
P NFN - U.S. Session
(8:00 a.m. – 8:00 p.m., ET)
3.4 Retransmission Requester
The Retransmission Requester is comprised of two, alphanumeric bytes. This field indicates
if the message is an original transmission or retransmission. If the message is a
retransmission, this field indicates the two-character retransmission identifier of the
intended data recipient.
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All NFN Data Service recipients must code their systems to process the following values:
Code Description
O (space) Original Transmission to All
R (space) Retransmission to All
Specific Vendor ID To be assigned on vendor-by-vendor basis.
Note: In addition to these three codes, Nasdaq will assign a special two-character
retransmission requester to each direct subscriber of NFN Data Service. Customers should
code their system to process the two-character code assigned to their firm as well as the
three global values outlined above. To obtain your retransmission requester, please contact
Nasdaq Global Information Services at +1 301 978 5307 or [email protected]. For
more information on the NFN Data Service retransmission capability, please refer to section
3.6 of this document.
3.5 Message Sequence Number
The Message Sequence Number is comprised of eight, numeric bytes. At the beginning of
each operational cycle, this number will be set to 00000000 (for the Start of Day).
Throughout the day, the message sequence number for each original transmission will be
incremented by one with the exception of the following control messages:
The Start of Day (Category C – Type I) message is sent three times to ensure
receipt. All three messages in this series will contain a message sequence number of
zero.
The Line Integrity (Category C – Type T) message is sent at one-minute intervals.
The message sequence number for these control messages will not be incremented.
The message sequence number will contain the same value as the prior original
transmission message.
The Sequence Number Reset (Category C – Type L) message will contain the number
to which the Message Sequence Number counter is to be reset. This number is either
zero or a number greater than the highest number previously transmitted.
The End of Day (Category C – Type J) message is sent three times to ensure receipt.
Only the first message in this sequence will be incremented.
The End of Retransmission Requests (Category C – Type K) message is sent three
times to ensure receipt. Only the first message in this sequence will be incremented.
The End of Transmissions (Category C – Type Z) message is sent three times to
ensure receipt. Only the first message in this sequence will be incremented.
For more information on these control messages, please refer to section 8 of this document.
To obtain the test cycle messages, please refer to Appendix D of this document.
3.6 Originator ID
The Market Center Originator Identifier (ID) is comprised of one, alphabetic byte. This field
indicates the market center or Nasdaq system that originated the message that follows.
The allowable values are as follows:
Code Description
E NFN Data Service Data Feed Handler
F Nasdaq Fund Network (NFN) host system
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3.7 Date/Time
The Date/Time is comprised of seven alphanumeric bytes. This field uses a special format to
denote the calendar date and military time that the record was originally generated by the
Nasdaq system identified in the Market Center Originator ID field. This value is broken down
as follows:
Date Year
Date Month Date Day Time Hour Time Minute Time Second
2 1 1 1 1 1
Within these subsections, the values will be formatted in the following manner:
Date Year: The year the transaction occurred. This two-byte field will be stated in
numeric format, with possible values 00 to 99.
Date Month: The month the transaction occurred. This one byte field is stated in
ASCII text format. The numeric month value will be converted into a single ASCII
character based on the Date/Time translation table.
Date Day: The day of the month the transaction occurred. This one byte field is
stated in ASCII text format. The day value will be converted into a single ASCII
character based on the Date/Time translation table.
Time Hour: The hour of the day the transaction occurred in military time. This one
byte field is stated in ASCII text format. The hour value will be converted into a
single ASCII character based on the Date/Time translation table.
Time Minute: The minute of the hour the transaction occurred. This one byte field is
stated in ASCII text format. The minute value will be converted into a single ASCII
character based on the Date/Time translation table.
Time Second: The second of the minute the transaction occurred. This one byte
field is stated in ASCII text format. The second value will be converted into a single
ASCII character based on the Date/Time translation table.
Note: The Date/Time translation table is available in Appendix C of this document.
3.8 Test Symbol Flag
Nasdaq uses this field to denote if the NFN Data Service data element to follow is related to
a live or test symbol. The allowable values are:
Code Description
T NFN Test Symbol
<space> NFN Live / Production Symbol
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4.0 Data Formats
In this section, Nasdaq illustrates the field layout for each NFN Data Service message
format. The data definition for each field is outlined in section 7 of this document.
For NFN Data Service message processing guidelines, please refer to section 10 of
this document.
4.1 NFN Valuation Message Format - Mutual Funds, Unit
Investment Trusts (UITs), Annuities, Structured Products, Alternative Investment Products (AIPs), NextShares
Exchange Traded Managed Funds, Collective Investment Trust (CITs), Managed Accounts, Separate Accounts,
Hedge Funds, and Demand Deposit Accounts
Category F – Type G
Nasdaq will use the following NFN valuation message to support the daily price
reporting from Mutual Funds, Unit Investment Trusts (UITs), Annuities, Structured
Products, Alternative Investment Products (AIPs), NextShares Exchange Traded
Mutual Funds, Collective Investment Trust (CITs), Managed Accounts, Separate
Accounts, Hedge Funds, and Demand Deposit Accounts.
This NFN Valuation message will support valuation data for the life of the instrument.
Instrument
Type / Tier
Symbol Reporting
Type
Footnotes
Net Asset
Value (NAV)
2 11 1 10 13
Offer Price Market Price Redemption
Price
Wrap Price Total Net
Assets
13 13 13 13 15
Current Yield Current Yield
Direction
Estimated
Long Term
Return (ELTR)
ELTR Direction Accrued
Interest
9 1 9 1 13
Daily Dividend
Factor
Daily Dividend
Adjustment
Indicator
Currency Entry Date
9 1 3 8
158 bytes
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4.2 NFN Valuation Message – Money Market Funds
Category F – Type I
Nasdaq will use the following NFN valuation message to support the intraday, daily
and weekly price reporting from Money Market Funds.
This NFN Valuation message will support valuation data for the life of the fund.
Instrument
Type / Tier
Symbol
Reporting
Type
Footnotes Average
Maturity
2 11 1 10 3
Average Life NAV Gross 7 Day
Yield
Gross 7 Day
Yield Direction
Subsidized 7
Day Yield
3 13 9 1 9
Subsidized 7
Day Yield
Direction
Effective
Annualized 7
Day Yield
Effective
Annualized 7
Day Yield
Direction
30 Day Yield 30 Day Yield
Direction
1 9 1 9 1
30 Day Yield
Date
Daily Dividend
Factor
Daily
Dividend
Adjustment
Indicator
Total Net
Assets
Currency
8 9 1 15 3
Entry Date Calculation
Time
8 6
133 Bytes
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4.3 NFN Distributions
Nasdaq supports two message formats that relay income distributions and capital
distributions to the market data community.
The Dividend / Interest message may be used to report dividend and
interest payments for NFN instruments. Because the message format provides
explicit date fields, NFN fund families and trust sponsors may report their
income distributions in advance.
The Distributions message may be used to report capital distributions for
NFN instruments. Because the message format provides explicit date fields,
NFN fund families and trust sponsors may report their capital distributions in
advance.
Please note that the Corporate Action processing logic is based on the Symbol, Ex-
Date and Action fields. Firms may use the Action field to determine the appropriate
database action for the stated Symbol, Cash Distribution Type and Ex-Date. For the
Corporate Action Reporting field, the possible values will be:
Actions
Code Value Appropriate Database Action
N New Dividend or Distribution
record
Add the new record to database for the
symbol, cash distribution type and ex-
date.
C Corrected Dividend or
Distribution record
Replace the existing record in database
for the symbol, cash distribution type
and ex-date with the new record.
X Cancelled corporate action
record
Remove the existing record in database
for the given symbol, cash distribution
type and ex-date.
E Restatement of the Corporate
Action in the NFN Data
Service Ex-Date spin
Verify the existing record in database for
given symbol, cash distribution and ex-
date.
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4.3.1 NFN Dividends / Income Distributions
Category F –Type W
Nasdaq will use the following message format will be used to report cash dividends,
stock dividends and interest payment information for NFN instruments. Nasdaq
disseminates the NFN Corporate Actions - Dividends and Interest message format at
the time of data entry as well as part of a pre-opening spin on ex-date.
Instrument
Type / Tier
Symbol
Action
Cash
Distribution
Type
Total Cash
Distribution
2 11 1 1 13
Non-Qualified
Cash
Distribution
Qualified Cash
Distribution
Tax-Free Cash
Distribution
Ordinary
Foreign Tax
Credit
Qualified
Foreign Tax
Credit
13 13 13 13 13
Stock Dividend
Ratio
Currency Payment Date Record Date Ex Date
11 3 8 8 8
Reinvest Date
8
139 Bytes
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4.3.2 NFN Capital Distributions
Category F –Type X
Nasdaq will use the following message format is used to report capital distributions
information for NFN instruments. Nasdaq disseminates the NFN Corporate Actions –
Capital Distributions message format at the time of data entry as well as part of a
pre-opening spin on ex-date.
Instrument
Type / Tier
Symbol
Action
Short-Term
Capital Gain
Long-Term
Capital Gain
2 11 1 13 13
Unallocated
Distributions
Return of
Capital (ROC)
Currency Payment Date Record Date
13 13 3 8 8
Ex Date
Reinvest Date
8 8
101 Bytes
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4.4 Administrative Messages
Nasdaq supports the following administrative messages on the NFN Data Service. Of
these messages, only the NFN Directory message will be updated in the second
quarter 2011 release.
4.4.1 General Administrative (Free-Form Text) Message
Category A – Type A
Nasdaq supports a variable length, free-form text message format to be used on an
as-needed basis. Since the General Administrative Message is a flexible format
message, it is up to the individual data feed subscriber to decide how to process
these messages. Firms may wish to code their systems to generate a systems alert
for data operations as manual processing of the General Administrative message
may be required.
Text
1 to 300
VARIABLE NUMBER OF BYTES
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4.4.2 NFN Daily Statistics
Category A – Type G
Nasdaq will use the following NFN Statistic message to relay the number of
instruments reporting NAVs or other relevant valuation data points during the
current session. The NFN statistics message will immediately follow the start of
summary spin control event.
Mutual Fund
Media List
Mutual Fund
Supplemental
List
Mutual Fund
Reporting
Money Market
Fund Media
List
Money Market
Fund
Supplemental
List
7 7 7 7 7
Money Market
FundReporting
Debt UIT List Debt UIT
Reporting
Equity UIT List Equity UIT
Reporting
7 7 7 7 7
Structured
Product List
Structured
Product
Reporting
Annuity List Annuity
Reporting
AIP List
7 7 7 7 7
AIP Reporting
NextShares
List (pka ETMF List)
NextShares
Reporting (pka ETMF Reporting)
Collective
Investment
Trust List
Collective
Investment
Trust
Reporting
7 7 7 7 7
Managed
Accounts List
Managed
Accounts
Reporting
Separate
Accounts List
Separate
Accounts
Reporting
Hedge Fund
List
7 7 7 7 7
Hedge Fund
Reporting
Demand
Deposit
Account List
Demand
Deposit
Account
Reporting
NFN Data
Service Spin
Count
7 7 7 1
197 bytes
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4.4.3 NFN Symbol Directory
4.4.3.1. NFN Symbol Directory Message with Expanded Instrument Code
Category A – Type K
Nasdaq will use the following message format to relay basic instrument information,
such as the Symbol, Instrument Name, Instrument Code, Instrument Registration
and Expected Pricing Frequency, for NFN instruments. For closed-end mutual funds
and NextShares exchange traded funds, the NFN directory also relays the primary
listing Market Identification Code (MIC) and trading symbol for the instrument if
needed for market data mapping purposed. The NFN Directory messages are
disseminated as part of the NFN Data Service pre-opening process.
Instrument
Type / Tier
Instrument
Code
Symbol
Pricing
Frequency
Instrument
Name
2 4 11 1 150
Exchange
Code for Listed
Instruments
Exchange
Symbol For
Listed
Instruments
Currency Instrument
Registration
4 11 3 1
187 bytes
5.0 Control Messages
Control messages consist of a message header only. For processing information,
please refer to section 9 of this document.
6.0 Please note that the NFN control messages will not be modified in the second quarter 2011 release. Field Occurrence Matrix
The following table outlines the Message Category and Message Type by field name.
Field Name Message Category Message Type(s)
Accrued Interest F G
Action F W, X
AIP List A G
AIP Reporting A G
Annuity List A G
Annuity Reporting A G
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Field Name Message Category Message Type(s)
Average Life F I
Average Maturity F I
Calculation Time F I
Cash Distribution Type F W
Collective Investment Trust (CIT) Listing
A G
Collective Investment Trust (CIT) Reporting
A G
Currency A J ,K
Currency F G, I, W, X
Current Yield F G
Current Yield Direction F G
Daily Dividend Adjustment Indicator
F G, I
Daily Dividend Factor F G, I
Debt UIT List A G
Debt UIT Reporting A G
Demand Deposit Account Listing A G
Demand Deposit Account Reporting
A G
Effective Annualized 7 Day Yield F I
Effective Annualized 7 Day Yield Direction
F I
ELTR Direction F G
Entry Date F G, I
Equity UIT List A G
Equity UIT Reporting A G
Estimated Long Term Return (ELTR)
F G
Ex Date F W, X
Exchange Code for Listed Instruments
A J, K
Exchange Symbol For Listed Instruments
A J, K
Footnotes F G, I
Gross 7 Day Yield F I
Gross 7 Day Yield Direction F I
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Field Name Message Category Message Type(s)
Hedge Funds Listing A G
Hedge Funds Reporting A G
Instrument Code A J, K
Instrument Name A J, K
Instrument Registration A J, K
Instrument Type / Tier A J, K
Instrument Type / Tier F G, I, W, X
Long Term Capital Gain F X
Market Price F G
Managed Accounts Listing A G
Managed Accounts Reporting A G
NFN Data Service Spin Count A G
Symbol A J, K
Symbol F G, I, W, X
Money Market Fund News Media List
A G
Money Market Fund Reporting A G
Money Market Fund Supplemental List
A G
Mutual Fund News Media List Count
A G
Mutual Fund Supplemental List Count
A G
NFN Fund Reporting A G
Net Asset Value (NAV) F G, I
NextShares List (pka EMTF List)
A G
NextShares Reporting (pka ETMF Reporting)
A G
Non-Qualified Cash Distribution F W
Offer Price F G
Ordinary Foreign Tax Credit F W
Payment Date F W, X
Pricing Frequency A J, K
Qualified Cash Distribution F W
Qualified Foreign Tax Credit F W
Record Date F W, X
Redemption Price / Redemption NAV
F G
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Field Name Message Category Message Type(s)
Reinvest Date F W, X
Reporting Type F G, I
Return of Capital F X
Separate Accounts Listing A G
Separate Accounts Reporting A G
Short Term Capital Gain F X
Stock Dividend Ratio (pka Stock
Dividend Factor) F W
Structured Product List A G
Structured Product Reporting A G
Subsidized 7 Day Yield F I
Subsidized 7 Day Yield Direction F I
Tax Free Cash Distribution F W
Text A A
30 (Thirty) Day Yield F I
30 (Thirty) Day Yield Date F I
30 (Thirty) Day Yield Direction F I
Total Cash Distribution F W
Total Net Assets F G, I
Unallocated Distribution F X
Wrap Price F G
7.0 Field Definitions
Note: All alphabetic and alphanumeric fields are left justified and space
filled unless otherwise stated. All numeric fields are right justified and zero
filled unless otherwise stated.
A
Field Name Accrued Interest
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, SIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
Field Format 13 bytes, Alphanumeric
Definition This field denotes the interest accrued for a NFN instrument since
the last interest payment was made to investors. The field format
is:
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If accrued interest is entered into NFN, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The accrued interest value will be zero filled as necessary.
If no accrued interest is entered, the field will contain the
value “NA” (right justified, space filled).
Field Name Action
Message Format(s)
NFN Corporate Action – Dividends/Interest (Category F – Type W)
NFN Corporate Action – Distributions (Category F – Type X)
Field Format 1 byte, Alphanumeric.
Definition This field indicates the type of corporate action update that is
being disseminated for the stated Symbol, Cash Distribution Type
and Ex-Date. The allowable values will be:
Code Value
N New record: Add corporate action record for stated
symbol, cash distribution type and ex-date.
C Corrected record: Update corporate action record for
stated symbol, cash distribution type and ex-date with
new field values.
X Cancelled record: Remove corporate action record for
stated symbol, cash distribution type and ex-date.
E Restated / Corporate Action Spin record: Verify
corporate action record for stated symbol, cash
distribution type and ex-date in database.
Field Name AIP List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of Alternative Investment
Products (AIPs) currently registered with NFN.
Field Name AIP Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of AIPs that reported a NAV
for the current business day.
Field Name Annuity List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of Annuities currently
registered with NFN.
Field Name Annuity Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
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Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered Annuities that
reported redemption NAV for the current entry day.
Field Name Average Life
Message Format(s) NFN Valuation – Money Market Fund (Category F – Type I)
Field Format 3 bytes, Alphanumeric.
Definition This field reflects the weighted average life (in days) of a money
market fund as calculated in accordance with the SEC Money
Market Reform Act. The field format is as follows:
If average life is entered, the amount will be stated in
numeric format (right justified, zero filled).
If no average life is entered, the field will contain the value
“NA” (right justified, space filled).
Field Name Average Maturity
Message Format(s) NFN Valuation – Money Market Fund (Category F – Type I)
Field Format 3 bytes, Alphanumeric.
Definition This field indicates the average time to maturity (stated in days)
of the securities held by the fund. The field format is as follows:
If average maturity is entered, the amount will be stated
in numeric format (right justified, zero filled).
If no average maturity is entered, the field will contain the
value “NA” (right justified, space filled).
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C
Field Name Calculation Time
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 6 bytes, Alphanumeric. HHMMSS or NA.
Definition Denotes the NFN pricing agent calculation time from the inbound
money market message format. Field will be populated in
HHMMSS (military time) format for the U.S. Eastern Time (ET)
zone.
Examples:
110000 => 11:00 a.m., ET
160000 => 4:00 p.m., ET
If no time is provided in the inbound NFN message format, the
field will be populated as “NA”.
Field Name Cash Distribution Type
Message Format(s) NFN Corporate Actions – Dividends / Interest
(Category F – Type W)
Field Format 1 byte, Alphanumeric.
Definition This field indicates the type of cash distribution being reported in
the following cash distribution fields. The allowable values will be:
Code Value
D Cash Dividend (Default for Mutual Funds)
I Interest Income (Default for UITs)
S Special Cash Dividend (Used on as of basis by all
instrument types)
<space> Not applicable, no cash distribution being reported
(only stock dividends).
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Field Name Currency
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
NFN Corporate Action – Dividend/Interest (Category F – Type W)
NFN Corporate Action – Distribution (Category F – Type Y)
NFN Symbol Directory (Category A – Type k)
Field Format 3 bytes, Alphanumeric.
Definition This field indicates the ISO currency code associated with the NFN
price-related fields. Default value will be:
Code Value
USD US Dollars
Field Name Current Yield
Message Format(s)
NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
Field Format 9 bytes, Alphanumeric.
Definition This field indicates the current yield (annual rate of return on
investment) for a NFN instrument.
If current yield is entered, the amount will be stated in the
following numeric format: $$$$.dddd format. The yield
will be zero filled as necessary. This field is expressed as a
percentage. [Example, a 5.75% effective annualized yield
would be stated as “0005.7500”.]
If no current yield is entered, the field will contain the
value “NA” (right justified, space filled).
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Field Name Current Yield Direction
Message Format(s)
NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
Field Format 1 byte, Alphanumeric (including special characters).
Definition This field indicates if the current yield should be stated as a
positive or negative number for the NFN instrument. Allowable
values will be:
Code Value
-
<dash>
Negative yield; Current yield is less than 0.00% so it
should be displayed with negative sign.
<space> Positive or zero yield (Default)
D
Field Name Daily Dividend Factor Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 9 bytes, Alphanumeric.
Definition This field indicates the dividend factor for a NFN instrument that
declares a daily dividend. Please refer to the Daily Dividend
Adjustment Indicator to determine if the NFN pricing agent made
adjustments for weekends and holidays.
If Daily Dividend is entered, the amount will be stated in
the following numeric format: $$.dddddd format.
If Daily Dividend is entered, the field will contain the value
“NA” (right justified, space filled).
Field Name Daily Dividend Adjustment Indicator Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 1 byte, Alphanumeric.
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Definition This field indicates if the Daily Dividend Adjustment Factor was
fattened to reflect weekend, holiday or other non-reported period.
Allowable values are:
Code Value
Y Fat adjustment reflected in Daily Dividend
Factor
N No fat adjustment for Daily Dividend Factor
<space> Not applicable; no Daily Dividend Factor
provided
Field Name Debt UIT List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of debt-focused UITs currently
registered with NFN.
Field Name Debt UIT Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered Debt UITs that
reported redemption NAV for the current entry day.
E
Field Name Effective Annualized 7 Day Yield
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 9 bytes, Alphanumeric.
Definition This field indicates the effective yield for a money market fund. In
calculating the effective annualized yield, most money markets
assume that any income earned is reinvested. The field format is
as follows:
If effective annualized yield is entered, the amount will be
stated in the following numeric format: $$$$.dddd. This
field is expressed as a percentage.
[Example, a 5.75% effective annualized yield would be
stated as “0005.7500”.]
If no effective annualized yield is entered, the field will
contain the value “NA” (right justified, space filled).
Please see the following yield direction field to determine if
the effective annualized 7 day yield should be stated as a
positive or negative number.
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Field Name Effective Annualized 7 Day Yield Direction
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 1 byte, Alphanumeric (including special characters).
Definition This field indicates if the effective annualized 7 day yield should
be stated as a positive or negative number for the NFN
instrument. Allowable values will be:
Code Value
-
<dash>
Negative yield; Effective annualized yield is less
than 0.00% so it should be displayed with negative
sign.
<space> Positive or zero yield (Default)
Field Name Entry Date
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 8 bytes, Alphanumeric.
Definition This field denotes the date associated with the price information
in the NFN Valuation message.
If an entry date is entered, the value will be stated in the
following numeric format: MMDDYYYY. In this value, the
first two bytes represent the month (01-12), the next two
bytes represent the day of the month (01-31), and the last
four bytes represent the year of the date.
For current day’s valuation data, the entry date should be
equal to the current day’s date.
If the date is earlier than the current business date, the
message should be used to correct the historical database
record for the fund.
If no entry date is entered, the field will either be space
filled. When this field is populated this way the intent is for
the transaction to represent data for the current trading
day.
Field Name Equity UIT Count
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of equity-focused UITs
currently registered with NFN.
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Field Name Equity UIT Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered Equity UITs that
reported redemption NAV for the current entry day.
Field Name Estimated Long Term Return (ELTR)
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
Field Format 9 bytes, Alphanumeric.
Definition Estimated return (yield) over the life of the portfolio of a UIT or
other NFN instrument.
If ELTR is entered, the amount will be stated in the
following numeric format: $$$$.dddd format. The ELTR
will be zero filled as necessary. This field is expressed as a
percentage. [Example, a 5.75% ELTR would be stated as
“0005.7500”.]
If no ELTR is entered, the field will contain the value “NA”
(right justified, space filled).
Field Name ELTR Direction
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
Field Format 1 byte, Alphanumeric (including special characters).
Definition This field indicates if the estimated long term return (ELTR)
should be stated as a positive or negative number for the NFN
instrument. Allowable values will be:
Code Value
-
<dash>
Negative yield or return; ELTR is less than
0.00% so it should be displayed with negative
sign.
<space> Positive or zero ELTR (Default)
Field Name Ex Date
Message Format(s)
NFN Corporate Action – Dividends / Interest
(Category F – Type W)
NFN Corporate Action – Distributions (Category F – Type X)
Field Format 8 bytes, alphanumeric.
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Definition This field indicates the ex date for the dividend or distribution.
This is the date that NAV should be adjusted.
If an ex date is entered, the value will be stated in the
following numeric format: MMDDYYYY. In this value, the
first two bytes represent the month (01-12), the next two
bytes represent the day of the month (01-31), and the last
four bytes represent the year of the date.
If no ex date is entered by the NFN inbound user, Nasdaq
will populate this field with the current trading date.
Field Name Exchange Code for Listed Instruments (pka Listing Market
Center)
Message Format(s) NFN Symbol Directory
(Category A – Type K)
Field Format 4 bytes, Alphanumeric.
Definition This field indicates the ISO 10383 Market Identification Codes
(MICs) for the listing market center for a NFN instrument, if
applicable. For the U.S. equity markets, the current MIC codes
are:
Code Value XASE NYSE MKT (pka NYSE Amex)
XNYS New York Stock Exchange (NYSE)
XNAS The NASDAQ Stock Market ARCX NYSE Arca BATS BATS Exchange IEXG Investors’ Exchange, LLC XXXX Instrument Not Listed on Exchange
<space> No Exchange Code Not Available
Field Name Exchange Symbol For Listed Instruments (pka Listing Market
Symbol)
Message Format(s) – NFN Symbol Directory (Category A – Type k)
Field Format 11 byte, Alphanumeric.
Definition This field indicates the exchange ticker for the NFN instrument
from the primary listing market (if available).
F
Field Name Footnotes
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 10 bytes, Alphanumeric.
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Definition The fund footnote field is a floating-position value field. This field
may contain up to ten different footnote codes. The current
allowable values are:
Code Footnote Value Instrument Type
A Actual return to
shareholders may differ due
to capital gains or losses
Money Market Fund
B Account size varies, yield
due to fixed charges
Money Market Fund
C Revaluation of assets AIP, Structured
Product, and Hedge
Fund
D Ex-distribution All, excluding
Demand Deposit
Account
F Fund always prices using a
previous day’s quotation
All
H Deferred sales charge UIT
G Redemption gate in effect Money Market Fund
I Repurchase offer period for
Interval Fund
Mutual Fund
L Liquidity fee in effect Money Market Fund
N No front-end load or
contingent deferred sales
load
Mutual Fund
O Primary offering. Portfolio
that is currently available to
investors
UIT
P 12(b)(1) plan – fund assets
are used to pay for
distribution costs
Mutual Fund
R Redemption fee or
contingent deferred sales
load may apply
Mutual Fund
S Stock split/dividend All, excluding
Demand Deposit
Account
W NRO or “Brown-out”
indicator. Trust will not re-
offer
UIT
X Ex-dividend All, excluding
Demand Deposit
Account
Y
Secondary offering; past
portfolio that is in the
secondary offering period
UIT
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Note: The position of a footnote(s) in the dissemination of the
data will be consistent with the Nasdaq information processed
from the front-end host funds data entry system to the NFN Data
Service journal file to the NFN Data Service broadcast. For
example, if only one value is apparent in the field, it may be
disseminated in any of the ten positions of the field.
G
Field Name Gross 7 Day Yield Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 9 bytes, Alphanumeric.
Definition This field indicates the gross 7 day yield for a money market fund.
This yield is based on average net income earned by the
securities in the fund’s portfolio during the past 7 days. In
accordance with the SEC definition, gross 7 day yield should
exclude capital changes and income other than investment
income. In addition, the gross 7 day yield should not reflect a
deduction of shareholders fees and fund operating expenses.
If gross 7 day yield is entered, the amount will be stated in
the following numeric format: $$$$.dddd. This field is
expressed as a percentage. [Example, a 5.75% gross 7
day yield would be stated as “0005.7500”.]
If no gross 7 day yield is entered, the field will contain the
value “NA” (right justified, space filled).
Please see the following yield direction field to determine if
the gross 7 day yield should be stated as a positive or
negative number.
Name Gross 7 Day Yield Direction
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 1 byte, Alphanumeric (including special characters).
Definition This field indicates if the gross 7 day yield should be stated as a
positive or negative number for the NFN instrument. Allowable
values will be:
Code Value
-
<dash>
Negative yield; gross 7 day yield is less than 0.00%
so it should be displayed with negative sign.
<space> Positive or zero yield (Default)
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I
Field Name Instrument Code (pka Fund Code)
Message Format(s) -
Through
August 17, 2018
NFN Symbol Directory (Category A – Type J)
Message Format(s) –
As of
August 20, 2018
NFN Symbol Directory with Expanded Instrument Code
(Category A – Type K)
Field Format 4 byte, Alphanumeric.
Definition
This field indicates the general investment strategy of the NFN
instrument. Please note that this field is impacted by the NFN field
name / value standardization effort.
<space> denotes one ASCII space character.
The allowable values will be as follows:
Code Value
Mutual Funds
O <space> <space> <space> Mutual Fund – Open End
C <space> <space> <space> Mutual Fund – Closed End
Y <space> <space> <space> Interval Fund
Z <space> <space> <space> Business Development
Company (BDC)
Money Market Funds
A <space> <space> <space> Money Market Fund – General
Purpose
G <space> <space> <space> Money Market Fund –
Government Securities
X <space> <space> <space> Money Market Fund – Tax
Exempt Securities
Unit Investment Trusts (UITs)
D <space> <space> <space> UIT – Debt Securities
E <space> <space> <space> UIT – Equity Securities
Annuities
M <space> <space> <space> Annuity – Variable
N <space> <space> <space> Annuity – Equity Indexed
Alternative Investment Products (AIPs)
F <space> <space> <space> AIP - Fund of Hedge Funds
B <space> <space> <space> AIP - Managed Future Funds
K <space> <space> <space> AIP - Commodity Pool Funds
I <space> <space> <space> AIP - Non-Traded REITs
J <space> <space> <space> AIP - Non-Traditional Hedge
Funds (Registered)
P <space> <space> <space> AIP - Private Equity Offerings
Structured Products / Structured Notes
R <space> <space> <space> Structured Product - Hybrid
S <space> <space> <space> Structured Product – Single
Stock
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T <space> <space> <space> Structured Product – Buffer /
Barrier Enhanced Upside
U <space> <space> <space> Structured Product – Principal
Protected
V <space> <space> <space> Structured Product –
Commodity / FX
W <space> <space> <space> Structured Product – Rates
Enhanced
L <space> <space> <space> Structured Product – Other
NextShares Exchange Traded Managed Funds
Q <space> <space> <space> NextShares
Hedge Fund
H <space> <space> <space> Hedge Fund
Collective Investment Trust
1 <space> <space> <space> Collective Investment Trust
Managed Accounts
2 <space> <space> <space>
Managed Accounts -
Separately Managed Accounts
(SMA)
3 <space> <space> <space> Managed Accounts - Unified
Managed Accounts (UMA)
Separate Accounts
4 <space> <space> <space> Separate Accounts
Demand Deposit Accounts
5 <space> <space> <space> Demand Deposit Account
Field Name Instrument Name (pka Fund Name)
Message Format(s) NFN Symbol Directory – (Category A – Type I)
Field Format 150 bytes, Alphanumeric (including special characters)
Definition This field indicates the name of the NFN instrument as reported to
Nasdaq by the investment company.
Field Name Instrument Registration
Message Format(s) NFN Symbol Directory
(Category A – Type K)
Field Format 1 byte, alphanumeric.
Definition This field will denote the U.S. regulatory oversight body with
which the NFN instrument is registered. The allowable values will
be:
Code Value
S U.S. Securities and Exchange Commission
(SEC)
M Municipal Securities Rulemaking Board
(MSRB)
C U.S. Commodity Futures Trading
Commission (CFTC)
X Exemption
N Not Registered with U.S. Regulatory
Agency
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O Other
Field Name Instrument Type / Tier
Message Format(s) –
NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
NFN Corporate Action – Dividend / Interest (Category F – Type W)
NFN Corporate Action – Distribution (Category F – Type X)
NFN Symbol Directory (Category A – Type K)
Field Format 2 bytes, Alphanumeric (including special characters).
Definition This field indicates the level of participation of the instrument in
NFN. The level of participation is based on minimum eligibility
requirements established by NFN. The associated values are as
follows:
Code Value
MF Mutual Fund – News Media List
MS Mutual Fund –Supplemental List
$$ Money Market Fund – News Media List
$S Money Market Fund –Supplemental List
US Unit Investment Trust (UIT)
SP Structured Product
AN Annuity
AP Alternative Investment Product (AIP)
EM NextShares Exchange Traded Managed Fund
CT Collective Investment Trust
MA Managed Accounts
SA Separate Accounts
HF Hedge Fund
DD Demand Deposit Accounts
L
Field Name Long-Term Capital Gains
Message Format(s) NFN Corporate Action – Distributions (Category F – Type X)
Field Format 13 bytes, Alphanumeric.
Definition This field indicates the portion of the total capital gain for the NFN
instrument that is taxed to the shareholder at the long-term
capital gains rate.
If long-term capital gain is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary.
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If no long-term capital gain is entered, the field will
contain the value “NA” (right justified, space filled).
M
Field Name Market Price
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
New Field Format 13 bytes, Alphanumeric.
New Definition This field represents the closing price from the primary market for
a NFN instrument that trades on an exchange. The field format is
as follows:
If market price is entered, the value will be stated in the
following numeric format: $$$$$$.dddddd. The field will
be zero filled as necessary.
If no market price is entered, the field will contain the
value “NA” (right justified, space filled).
Field Name NFN Data Service Spin Count
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 1 byte, numeric.
Definition This field indicates the NFN Data Service spin instance associated
with the NFN statistics message.
Nasdaq will support four NFN Data Service summary spins:
Code Value
1 6:05 p.m., ET
2 6:25 p.m., ET
3 6:45 p.m., ET
4 8:00 p.m., ET (Final)
Field Name Symbol
Message Format(s) –
NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
NFN Corporate Action – Dividend / Interest (Category F – Type W)
NFN Corporate Action – Distribution (Category F – Type X)
NFN Symbol Directory (Category A – Type K)
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Field Format 11 bytes, Alphanumeric.
Definition This field indicates the NFN ticker symbol as assigned by NFN to
instrument.
To download the current NFN symbol directory without CUSIPs,
please visit the Nasdaq Trader web site.
To access the current directory with CUSIPs as well as daily
corporate action files with NFN security additions, deletions, or
security attribute changes, please subscribe to the NFN Daily List
product.
Field Name Money Market Fund News Media List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of money market funds
currently registered with NFN for the news media list.
Field Name Money Market Fund Supplemental List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of money market funds
currently registered with NFN for the supplemental list.
Field Name Money Market Fund Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered money market
funds that reported average maturity and 7-day yield for the
current entry date.
Field Name Mutual Fund News Media List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of open- and closed-end
mutual funds currently registered with NFN for the news media
list.
Field Name Mutual Fund Supplemental List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of open- and closed-end
mutual funds currently registered with NFN for the supplemental
list.
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Field Name Mutual Fund Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered mutual funds
that reported a NAV for the current entry day.
N
Field Name Net Asset Value (NAV)
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts.
(Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 13 bytes, Alphanumeric.
Definition This field indicates the net asset value for a NFN instrument. The
field format is as follows:
If a NAV is entered, the field will be stated in the following
numeric format: $$$$$$.dddddd. The field will be zero
filled as needed.
If no NAV is entered, the field will contain the value “NA”
(right justified, space filled).
Field Name NextShares List
(pka ETMF List)
Message Format(s)
NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered NextShares on
the NFN system as of the start of the current business day.
Field Name NextShares Reporting
(pka ETMF Reporting)
Message Format(s)
NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of registered NextShares that
reported redemption NAV for the current entry day.
Field Name Non-Qualified Cash Distribution
Message Format(s) NFN Corporate Action – Dividend / Interest
(Category F – Type W)
Field Format 13 bytes, Alphanumeric.
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Field Definitions
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Definition This field reflects the portion of the cash dividend or interest
income that is taxed as ordinary income to the shareholder.
Please note that this value should be entered as a dollar amount
(not a percentage).
If a non-qualified cash distribution is entered, the amount
will be stated in the following numeric format:
$$$$$$.dddddd. The field will be zero filled as necessary. If a non-qualified cash distribution is not entered, the field
will contain the value “NA” (right justified, space filled).
O
Field Name Offer Price
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
Field Format 13 bytes, Alphanumeric.
Definition This field reflects the price at which a NFN instrument’s shares
can be purchased from the issuer or distributor. The offer price
includes the current net asset value per share plus any sales
charges. The field format is as follows:
If an offer price is entered, the amount will be stated in
the following numeric format: $$$$$$.dddddd. The field
will be zero filled as necessary. If an offer price is not entered, the field will contain the
value “NA” (right justified, space filled).
Field Name Ordinary Foreign Tax Credit Message Format(s) NFN Corporate Action – Dividend / Interest (Category F – Type W)
Field Format 13 bytes, Alphanumeric.
Definition Reflects the portion of the cash dividend or interest from a foreign
corporation that is not “qualified” by the IRS. Please note that this
value should be entered as a dollar amount (not a percentage).
The field format is as follows:
If ordinary foreign tax credit is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary.
If no ordinary foreign tax credit is entered, the field will
contain the value “NA” (right justified, space filled).
P
Field Name Payment Date
Message Format(s)
NFN Corporate Action – Dividend / Interest (Category F – Type W)
NFN Corporate Action – Distributions (Category F – Type X)
Field Format 8 bytes, Alphanumeric.
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Definition This field denotes the date on which dividends, interest payments
or distributions will be distributed to the NFN instrument’s
shareholders of record. The field format is as follows:
If a payment date is entered, the value will be stated in
the following numeric format: MMDDYYYY. In this value,
the first two bytes represent the month (01-12), the next
two bytes represent the day of the month (01-31), and the
last four bytes represent the year of the payment date.
If no payment date is entered, the field will either be space
filled or contain the value of “NA”.
Field Name Pricing Frequency
Message Format(s) NFN Symbol Directory with Instrument Registration
(Category A – Type K)
Field Format 1 byte, alphanumeric.
Definition This field indicates the frequency at which the pricing agent is
expected to report price updates for the NFN instrument. The
allowable values will be:
Code Value
I Intraday
D Daily (Default)
W Weekly
B Bi-weekly
M Monthly
Q Quarterly
S Semi-Annually
A Annually
Q
Field Name Qualified Cash Distribution
Message Format(s)
NFN Corporate Action – Dividend / Interest
(Category F – Type W)
Field Format 13 bytes, Alphanumeric.
Definition This field reflects the portion of the cash dividend or interest that
is taxed as a qualified dividend to shareholder. Please note that
this value should be entered as a dollar amount (not a
percentage).
If qualified cash distribution is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary.
If no qualified cash distribution is entered, the field will
contain the value “NA” (right justified, space filled).
Field Name Qualified Foreign Tax Credit
Message Format(s) NFN Corporate Action – Dividend / Interest (Category F – Type W)
Field Format 13 bytes, Alphanumeric.
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Definition This field reflects the portion of the cash dividend or interest
attributable to qualified foreign corporation as defined by the IRS.
Please note that this value should be entered as a dollar amount
(not a percentage).
If qualified foreign tax credit is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary.
If no qualified foreign tax credit is entered, the field will
contain the value “NA” (right justified, space filled).
R
Field Name Record Date
Message Format(s)
NFN Corporate Action – Dividend / Interest (Category F – Type W)
NFN Corporate Action – Distributions (Category F – Type X)
Field Format 8 bytes, Alphanumeric.
Definition This field denotes the date on which shareholders must hold fund
shares to receive dividend, interest or distributions. The field
format is as follows:
If a record date is entered, the value will be stated in the
following numeric format: MMDDYYYY. In this value, the
first two bytes represent the month (01-12), the next two
bytes represent the day of the month (01-31), and the last
four bytes represent the year of the record date.
If no record date is entered, the field will either be space
filled or contain the value “NA”.
Field Name Redemption Price
Message Format(s)
NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
Field Format 13 bytes, Alphanumeric.
Definition This field denotes the price that an investor would receive if he
were to redeem units with the NFN instrument’s issuer or
distributor. The field format is as follows:
If Redemption NAV is entered, the amount will be stated in
the following numeric format: $$$$$$.dddddd. The field
will be zero filled as necessary.
If no Redemption NAV is entered, the field will contain the
value “NA” (right justified, space filled).
Note: Only UITs currently use the Redemption Price field.
Field Name Reinvest Date
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Message Format(s) NFN Corporate Action – Dividends / Interest
(Category F – Type W)
NFN Corporate Action – Distributions (Category F – Type X)
Field Format 8 bytes, alphanumeric.
Definition This field indicates the reinvestment date for the dividend or
distribution.
If a reinvest date is entered, the value will be stated in the
following numeric format: MMDDYYYY. In this value, the
first two bytes represent the month (01-12), the next two
bytes represent the day of the month (01-31), and the last
four bytes represent the year of the date.
If no reinvest is entered, the value will be “NA”.
Field Name Reporting Type
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 1 byte, alphanumeric.
Definition This field indicates the dissemination type and frequency for the
NFN instrument. The allowable values will be:
Code Value
C Previous day fund price correction
I Current day’s price for a NFN instrument that
submits intraday updates
R Current day’s price for a NFN instrument that
submits daily or weekly updates
E NFN Summary Spin
Field Name Return of Capital (ROC)
Message Format(s) NFN Corporate Action – Distributions (Category F – Type X)
Field Format 13 bytes, Alphanumeric.
Definition This field reflects amount of return of capital to the NFN
instrument’s shareholders. Please note that this value should be
entered as a dollar amount (not a percentage).
If return of capital is entered, the amount will be stated in
the following numeric format: $$$$$$.dddddd. The field
will be zero filled as necessary.
If no return of capital is entered, the field will contain the
value “NA” (right justified, space filled).
S
Field Name Short-Term Capital Gains
Message Format(s) NFN Corporate Action – Distributions (Category F – Type X)
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Field Format 13 bytes, Alphanumeric.
Definition This field indicates the portion of the total capital gain for the NFN
instrument that is taxed to the shareholder at the short-term
capital gains rate.
If short-term capital gain is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary.
If no short-term capital gain is entered, the field will
contain the value “NA” (right justified, space filled).
Field Name Stock Dividend Ratio
Message Format(s)
NFN Corporate Action – Dividend / Interest (Category F – Type W)
Field Format 11 bytes, Alphanumeric.
Definition This field indicates the stock split/dividend ratio for a NFN
instrument. The field format is as follows:
If a stock split/dividend is entered, the amount will be
stated in the following numeric format: $$$$.dddddd.
The field will be zero filled as necessary.
Examples:
o 2-for-1 stock split should be reported as
“0002.000000”.
o 1-for-2 reverse stock split should be reported as
“0000.500000”.
o 10% stock dividend would be reported as
“0001.100000”.
If no stock split/dividend is entered, the field will contain
the value “NA” (right justified, space filled).
Field Name Structured Product List
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of Structured Products
currently registered with NFN.
Field Name Structured Product Reporting
Message Format(s) NFN Daily Statistics (Category A – Type G)
Field Format 7 bytes, Numeric.
Definition This field denotes the total number of Structured Products that
reported a NAV for the current business day.
Field Name Subsidized 7 Day Yield Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 9 bytes, Alphanumeric.
Definition The subsidized yield (also known as simple yield) reflects the yield
calculation with expense limitation currently in effect.
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If subsidized 7 day yield is entered, the amount will be
stated in the following numeric format: $$$$.dddd. This
field is expressed as a percentage. [Example, a 5.75%
gross 7 day yield would be stated as “0005.7500”.]
If no subsidized 7 day yield is entered, the field will
contain the value “NA” (right justified, space filled).
Please see the following yield direction field to determine if
the subsidized 7 day yield should be stated as a positive or
negative number.
Field Name Subsidized 7 Day Yield Direction
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 1 byte, Alphanumeric (including special characters).
Definition This field indicates if the subsidized 7 day yield should be stated
as a positive or negative number for the NFN instrument.
Allowable values will be:
Code Value
-
<dash>
Negative yield; subsidized 7 day yield is less than
0.00% so it should be displayed with negative
sign.
<space> Positive or zero yield (Default)
T
Field Name Tax Free Cash Distribution
Message Format(s) NFN Corporate Action – Dividend / Interest (Category F – Type W)
Field Format 13 bytes, Alphanumeric.
Definition Reflects the portion of the cash dividend or interest attributable to
bonds that is not taxed to the shareholder. Please note that this
value should be entered as a dollar amount (not a percentage).
If tax free cash distribution is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary.
If no tax free cash distribution is entered, the field will
contain the value “NA” (right justified, space filled).
Field Name Text
Message Format(s)
General Administration / Text Message (Category A – Type A)
Field Format 1 to 300 bytes (variable length), Alphanumeric.
Definition Free-form text is used to notify data feed subscribers of special
situations.
Field Name 30 (Thirty) Day Yield
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 9 bytes, Alphanumeric.
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Definition Indicates the 30 day yield value based on the SEC calculation
methodology with expense limitation currently in effect.
If 30 day yield is entered, the amount will be stated in the
following numeric format: $$$$.dddd. This field is
expressed as a percentage. [Example, a 5.75% 30 day
yield would be stated as “0005.7500”.]
If no 30 day yield is entered, the field will contain the
value “NA” (right justified, space filled).
Please see the following yield direction field to determine if
the 30 day yield should be stated as a positive or negative
number. Please see the following date field to determine
the end date for the 30 day yield calculation.
Field Name 30 (Thirty) Day Yield Direction
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 1 byte, Alphanumeric (including special characters).
Definition This field indicates if the 30 day yield should be stated as a
positive or negative number for the NFN instrument. Allowable
values will be:
Code Value
-
<dash>
Negative yield; 30 day yield is less than 0.00% so
it should be displayed with negative sign.
<space> Positive or zero yield (Default)
Field Name 30 (Thirty) Day Yield Date
Message Format(s) NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 8 bytes, Alphanumeric.
Definition This field indicates the period end date for which the 30 day yield
was calculated.
If a 30 day yield date is entered, the value will be stated in
the following numeric format: MMDDYYYY. In this value,
the first two bytes represent the month (01-12), the next
two bytes represent the day of the month (01-31), and the
last four bytes represent the year of the date.
If NFN pricing agent enters “NA” in the date field, firms
should show the date field as blank.
If no 30 day yield date is entered, the value will be “NA”.
Field Name Total Net Assets
Message Format(s) NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
NFN Valuation – Money Market Funds (Category F – Type I)
Field Format 15 bytes, Alphanumeric. Stated in actual dollars.
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Definition This field indicates the total net assets, in actual dollars) for the
NFN instrument.
The field format is as follows:
If assets are entered, the amount will be stated in the
following numeric format: $$$$$$$$$$$$$$$. The asset
amount will be zero filled as necessary.
Example: If a fund holds $25,500,000 in assets, the field
value would be “000000025500000”.
If no asset amount is entered, the field will contain the
value “NA” (right justified, space filled).
Field Name Total Cash Distribution Message Format(s) NFN Corporate Action – Dividend / Interest (Category F – Type W)
Field Format 13 bytes, Alphanumeric.
Definition This field reflects the total cash dividend or total interest
distribution being reported for the NFN instrument. Firms may
report the breakdown of cash dividends / interest distribution in
the fields that follow. The field format is as follows:
If total cash distribution is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary. If no total cash distribution is entered, the field will contain
the value “NA” (right justified, space filled).
U
Field Name Unallocated Distribution
Message Format(s)
NFN Corporate Action – Distributions (Category F – Type X)
Field Format 13 bytes, Alphanumeric.
Definition This field reflects the amount of unassigned term gains being
reported for the NFN instrument. The field format is as follows:
If unallocated distribution is entered, the amount will be
stated in the following numeric format: $$$$$$.dddddd.
The field will be zero filled as necessary. If no unallocated distribution is entered, the field will
contain the value “NA” (right justified, space filled).
W
Field Name Wrap Price
Message Format(s)
NFN Valuation – Mutual Funds, UITs, Annuities, Structured
Products, AIPs, NextShares, Collective Investment Trust,
Managed Accounts, Separate Accounts, Hedge Funds, & Demand
Deposit Accounts. (Category F – Type G)
Field Format 13 bytes, Alphanumeric.
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Definition This field denotes the price that an investor would pay to
purchase units if the NFN instrument is held in an account that is
managed by a financial representative for a fee. The field format
is as follows:
If wrap price is entered, the amount will be stated in the
following numeric format: $$$$$$.dddddd. The field will
be zero filled as necessary. If no wrap price is entered, the field will contain the value
“NA” (right justified, space filled).
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8.0 Control Messages
8.1 Overview
A Control message is a fixed format message that performs a specific system
function. All Control Messages consist of a standard Message Header only. Please
refer to Section 3.0 for the layout of the NFN Data Service Message Header.
Control messages are used to notify NFN Data Service subscribers of certain system
events. The following control messages are supported on the NFN Data Service data
feed:
Category Type Usage
C E NFN Session Close
C F NFN Session Open
C I Start of Day
C J End of Day
C K End of Retransmission Requests
C L Message Sequence Number Reset
C P Start of Summary Spin
C S End of Summary Spin
C T Line Integrity
C Z End of Transmissions
All control messages will be session independent. For a schedule of transmissions,
please refer to Appendix B.
8.2 Control Message Description
8.2.1 NFN Session Close
Category C – Type E
The Session Close control message signals the official closing time of the NFN system
for the reporting session indicated in the message header. The NFN session close
message will go out at approximately 8:00 p.m., ET.
The Message Sequence Number field for the Reporting Session Close control message
will contain a number one greater than the highest Original Message Sequence
Number previously transmitted.
8.2.2 NFN Session Open
Category C – Type F
The Session Open control message signifies the official opening time of the NFN
system for the reporting session indicated in the message header. The Reporting
Session Open message will be disseminated at approximately 8:00 a.m., ET.
The Message Sequence Number field for the Session Open control message will
contain a number one greater than the highest Original Message Sequence Number
previously transmitted.
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8.2.3 Start Of Day
Category C – Type I
The Start of Day control message signifies the beginning of each operational cycle for
NFN Data Service processing. Each day, the Start of Day control message will be sent
to the vendor community upon receiving the associated event trigger from an
inbound data source. The purpose of this message is to inform subscribers that all
subsequent data transmitted will be real-time updates and should be treated
accordingly. The message will be sent three times, at one-minute intervals, with the
same Message Sequence Number (00000000) on each message.
8.2.4 End Of Day
Category C – Type J
The End of Day control message signals the end of active message dissemination for
the NFN Data Service operational cycle. The End of Day message shall follow the final
summary spin on NFN. The system shall generate and disseminate the End of Day
control message upon receipt of the appropriate inbound control messages from all
inbound sources. The End of Day message will be sent three times, at one-minute
intervals. The first End of Day control message will contain a Message Sequence
Number one greater than the highest Message Sequence Number previously
transmitted. The Message Sequence Numbers of the subsequent two control
messages, however, will not be incremented.
8.2.5 End Of Retransmission Requests
Category C – Type K
This message signals that no further retransmission requests will be honored. The
End of Retransmission Requests message will be sent three times, at one-minute
intervals. The first End of Retransmission Requests control message will contain a
Message Sequence Number one greater than the highest Message Sequence Number
previously transmitted. The Message Sequence Numbers of the subsequent two
control messages, however, will not be incremented. Although Nasdaq Operations
may no longer accept retransmission requests after this control message is
disseminated, it will disseminate retransmissions that are in the queue.
8.2.6 Message Sequence Number Reset
Category C – Type L
The Message Sequence Number Reset control message forces downstream data
recipients to reset their Message Sequence Number log to a new number. The
Message Sequence Number may either be reset to zero or to a number greater than
the last message previously transmitted. If the Message Sequence Number is reset,
the system will not support retransmission requests for data sent prior to the time
that the reset was disseminated. The Message Sequence Number Reset control
message will be disseminated as needed between the Start of Day control message
and the End of Day control message.
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8.2.7 Start of Summary Spin
Category C – Type P
The Start of Summary Spin control message shall immediately precede the summary
spins. The NFN summary spin times will be:
6:05 p.m., ET
6:25 p.m., ET
6:45 p.m., ET
8:00 p.m., ET
The Message Sequence Number field for the End-of-Summary Spin control message
will contain a number one greater than the highest Original Message Sequence
Number previously transmitted.
8.2.8 End of Summary Spin
Category C – Type S
The End of Summary Spin control message is disseminated immediately following the
last record in the summary spin transmission. The Message Sequence Number field
for the End of Summary Spin control message will contain a number one greater than
the highest Original Message Sequence Number previously transmitted.
8.2.9 Line Integrity
Category C – Type T
The Line Integrity Control Message will be transmitted at approximately one-minute
intervals to verify the operational integrity of the NFN Data Service message
transmission, and will be intermixed with other messages. The Message Sequence
Number will not be incremented for the Line Integrity Message. The Message
Sequence Number will be equal to the message sequence number of the last
message sent. Line Integrity Messages will not be retransmitted.
8.2.10 End Of Transmissions
Category C – Type Z
The End of Transmissions control message is used to signal the end of the normal
transmission schedule for NFN Data Service. Retransmission requests, however, may
be accepted and disseminated if Operations so chooses. This message will be
transmitted at the end of the day. The End of Transmissions message will be sent
three times, at one-minute intervals. The End of Transmissions control message will
contain a Message Sequence Number one greater than the highest Message
Sequence Number previously transmitted. The Message Sequence Numbers in the
subsequent two control messages, however, will not be incremented.
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9.0 Message Processing Guidelines – NFN Valuation Data
9.1 Data Description
Nasdaq supports daily price data for the following securities on the U.S. security
classes via the NFN/ NFN Data Service system:
Mutual Funds
Money Market Funds
Unit Investment Trusts (UITs)
Structured Products
Annuities
Alternative Investment Products (AIPs)
NextShares Exchange Traded Managed Funds
Collective Investment Trusts
Managed Accounts
Separate Accounts
Hedge Fund
Demand Deposit Accounts
For more information on mutual funds, money market funds and UITs, please refer
to the Investment Company Institute (ICI) website at www.ici.org. For more
information on structured products, please refer to the Structured Products
Association website at www.structuredproducts.org. For more information on
annuities, please visit the Insured Retirement Institute website at www.irionline.org.
For more information on NextShares Exchange Traded Managed Funds, please visit
the NextShares website at www.nextshares.com.
9.2 Scope of Data
The NFN system is currently designed to capture the following data elements for
investment companies for dissemination on a daily basis via the NFN Data Service
data feed:
Mutual Funds, Unit Investment Trusts (UITs), Annuities, Structured
Products, Alternative Investment Products (AIPs), NextShares,
Collective Investment Trusts (CITs), Managed Accounts, Separate
Accounts, Hedge Fund, and Demand Deposit Accounts:
o Net Asset Value (NAV) for mutual funds, annuities, structured
products, AIPs, NextShares, collective investment trusts, managed
accounts, separate accounts, hedge funds, and demand deposit
accounts
o Offer price for non-traded instruments (such as Open End Funds, UITs
and Annuities)
o Market Price for exchange-listed instruments (such as Closed End
Funds and NextShares)
o Redemption NAVs for UITs
o Wrap Price for UITs
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o Current Yield for mutual funds, unit investment trusts (UIT), annuities,
structured products, AIPs, NextShares, collective investment trusts,
managed accounts, separate accounts, hedge funds, and demand
deposit accounts
o Estimated Long Term Return (ELTR) for UITs and other debt-based
securities
o Accrued Interest for mutual funds, unit investment trusts (UIT),
annuities, structured products, AIPs, NextShares, collective investment
trusts, managed accounts, separate accounts, hedge funds, and
demand deposit accounts
o Total Net Assets
o Daily Dividend Factor
Money Market Funds:
o Net Asset Value (NAV)
o Average Maturity
o Average Life
o Gross 7 Day Yield
o Subsidized 7 Day Yield
o Effective Annualized 7 Day Yield
o 30 Day Yield
o Daily Dividend Factor
o Calculation Time
In addition, the NFN system collects the following corporate action data elements on
an ad-hoc basis:
Dividends / Interest:
o Total Cash Distribution, with break out fields for:
Non-Qualified Cash Distribution
Qualified Cash Distribution
Tax-Free Cash Distribution
Ordinary Foreign Tax Credit
Qualified Foreign Tax Credit
o Stock Dividend / Spilt Ratio
o Date Fields associated with Dividend or Interest payment:
Record Date
Payment Date
Ex Date
Reinvestment Date
Capital Distributions:
o Short Term Capital Gains
o Long Term Capital Gains
o Unallocated Distributions
o Return of Capital
o Date Fields associated with Distribution:
Record Date
Payment Date
Ex Date
Reinvestment Date
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9.3 NFN Eligibility Standards
Nasdaq has established standards that investment companies must meet in order to
use NFN. NFN has established the following two levels of participation based on how
widely the data is disseminated by downstream users:
News Media List1: Due to space limitations, newspaper and printed media may
restrict the number of funds included in fund tables. In order to assist the
newspapers in determining which funds have the broadest appeal to the investing
public, Nasdaq established the following eligibility requirements for this top level
of funds.
Instrument Type /
Tier
Initial Eligibility Criteria Maintenance
Criteria
News Media List –
Open End Mutual Funds
and Money Markets
SEC registration of the fund
and either:
$25 million in net assets or
1,000 shareholder
accounts
$15 million net
assets or
750
shareholder
accounts
News Media List –
Closed End Mutual
Funds, Interval Funds,
Business Development
Company
SEC registration of the
fund and
$60 million in net assets
$30 million in
net assets
Supplemental List: Since the electronic media2 does not have the same space
considerations as the print media, Nasdaq provides a second level of funds for the
smaller investment companies and newer asset classes. Please refer to the NFN
Eligibility Standards for the latest requirements.
9.4 Fund Symbology
Symbols are comprised of five to six alphabetic characters. To help distinguish NFN
instruments from other securities, Nasdaq has historically required that the last
character of the fund symbol to be “X”.
Within the NFN industry, Nasdaq attempts to delineate between instrument types by
using the following symbology guidelines. For current NFN instrument types, the
symbol assignment rules are as follows:
1 While Nasdaq has established a news media list, it cannot guarantee that print media will show all funds
that meet the listing criteria outlined above. Newspapers may place additional limits on fund tables based on their own editorial guidelines. 2 The Electronic media, such as market data vendors, display prices for funds on both the news media and
supplemental lists.
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Instrument Type / Tier Proposed Fund Symbology
Open End Mutual Fund Five-character symbol that always ends with a single
“X”.
Example: ABCDX
Closed End Mutual Fund Five-character symbol that begins and ends with “X”.
Whenever possible, the middle characters will reflect the
security identifier on the listing market or exchange.
Example: XABCX
Interval Funds Five-character symbols that can begin with any letter,
including “X”, and end with a single “X”.
Example: ABCDX, XABCX
Business Development
Company
Five-character symbols that can begin with any letter,
including “X”, and end with a single “X”.
Example: ABCDX, XABCX
Money Market Fund Five-character symbol that always ends with “XX”.
Example: ABCXX
Unit Investment Trust
(UIT)3
Six-character symbols that end with “X”.
If the symbol is six characters in length, the symbol will
end with “X”. Example: ABCDEX.
Structured Product Six-character symbol that begins and ends with “X”.
Example: XABCDX
Annuity Six-character symbol that begins with “Q” and ends with
“X”.
Example: QABCDX
Alternative Investment
Product (AIP)
Six-character symbol that begins with “Z” and ends in
“X”.
Example: ZABCDX
NextShares Exchange
Traded Managed Fund
Seven-character symbol that consists of the NextShares
trading symbol as assigned by the Nasdaq exchange
followed by “NX”.
Example: ETMFCNX
3 As outlined in Data News #2000-25, Nasdaq changed its symbology format for UITs in April 2001. Due
to a grandfather clause, the following UIT has a five character ticker: First Trust GNMA Reinvestment Income Trust (GRIT) Srs 79 (symbol: ZFGMX). There may also be a few UIT tickers that begin with “Q” that pre-date the NFN introduction of newer asset classes.
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Instrument Type / Tier Proposed Fund Symbology
Collective Investment
Trust
Six-character symbols that end with “X”.
If the symbol is six characters in length, the symbol will
end with “X”. Cannot begin with “Z” or “Q”.
Example: ABCDEX
Managed Accounts Six-character symbols that end with “X”.
If the symbol is six characters in length, the symbol will
end with “X”. Cannot begin with “Z” or “Q”.
Example: ABCDEX
Separate Accounts Six-character symbols that end with “X”.
If the symbol is six characters in length, the symbol will
end with “X”. Cannot begin with “Z” or “Q”.
Example: ABCDEX
Hedge Fund Six-character symbol that begins with “Z” and ends in
“X”.
Example: ZABCDX
Demand Deposit Accounts Five-character symbol that always ends with a single
“X”.
Example: ABCDX
9.5 Message Processing
9.5.1 Hours of Operation
The NFN reporting session will run from 8:00 a.m. to 8:00 p.m., ET, with no breaks.
9.5.2 Intra-Day Updates for Valuation Data
During the NFN session, Nasdaq will disseminate updates to fund prices via NFN Data
Service as the data is entered into the NFN system.
With the introduction of the SEC Money Market Reform Act, Nasdaq expects to see
changes in the reporting profile for money market fund instruments. Specifically,
Nasdaq expects NFN pricing agents to report floating NAVs up to 4 decimal place for
institutional prime money market funds at pre-defined time intervals during the
trading day. To ensure that timing is consistent, Nasdaq added a Calculation Time
field to the inbound and outbound money market fund message format in July 2016.
Nasdaq strongly recommends that NFN Data Service redistributors display
the Calculation Time for money market funds if available.
Nasdaq’s recommended processing rules for NFN Data Service records is based on
the Reporting Type and Reporting Frequency fields.
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Instrument
Type
Reporting
Frequency
Reporting
Type
Processing / Display Rules
Mutual Funds,
UITs, Annuities,
AIPs, NextShares,
CITs, Managed
Accounts,
Separate
Accounts, Hedge
Funds, Demand
Deposit Accounts
Daily (or
less)
Real Time,
End of Day
NFN Data Service distributors
should retain the most recent
entry for the NFN instrument for
the given Entry Date only.
Mutual Funds,
UITs, Annuities,
AIPs, NextShares,
CITs, Managed
Accounts,
Separate
Accounts, Hedge
Funds, Demand
Deposit Accounts
Intraday Intraday NFN Data Service distributors
should retain all intraday records
for the NFN instrument for the
current Entry Date. Data should be
sorted by entry time field.
Mutual Funds,
UITs, Annuities,
AIPs, NextShares,
CITs, Managed
Accounts,
Separate
Accounts, Hedge
Funds, Demand
Deposit Accounts
All Correction NFN Data Service distributors
should retain corrected record for
the NFN instrument for the given
Entry Date only.
Money Market
Funds
Daily (or
less)
Real Time,
End of Day
NFN Data Service distributors
should retain the most recent
entry for the NFN instrument for
the given Entry Date only.
Money Market
Funds
Intraday Intraday NFN Data Service distributors
should retain all intraday records
for the NFN instrument for the
current Entry Date. If provided,
money market fund records should
be sorted by Calculation Time
field. If not provided, money
market fund records should be
populated by NFN Data Service
dissemination time.
Note: In the event that two NFN
Data Service records have the
same Entry Date and Calculation
Time values, NFN Data Service
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distributors only need to retain the
one with the most recent NFN
Data Service dissemination time.
Money Market
Funds
Daily (or
less)
Correction NFN Data Service distributors
should retain corrected record for
the NFN instrument for the given
Entry Date only.
Money Market
Funds
Intraday Correction If Calculation Time field is
populated, NFN Data Service
distributors should retain corrected
record for the NFN instrument for
the given Entry Date and
Calculation Time combination.
If Calculation Time field is not
populated, NFN Data Service
distributors should retain corrected
record for the NFN instrument for
the given Entry Date only.
Please note that there are a handful of NFN instruments that may price their funds
using yesterday’s closing price values. These funds will be denoted by the “F” value
in the Footnotes field of the message. Nasdaq recommends that firms follow the
same processing rules as defined above.
9.5.3 NFN Summary Spin Transmissions –Valuation Data
Nasdaq will support NFN Data Service summary spin transmissions at the following
times:
6:05 p.m., ET
6:25 p.m., ET
6:45 p.m., ET
8:00 p.m., ET
At the stated dissemination time, Nasdaq will disseminate a Start of Summary Spin
(Category C – Type P) message on NFN Data Service.
Within the spin, Nasdaq will restate the most recent valuation record for each and
every NFN instrument security in the NFN system. The summary spin transmission
will use the same message formats as the intra-day fund price updates with the
Reporting Period field set to “E”. Please note that the summary spin process is the
same for all NFN instruments (regardless of whether they price on a daily or intraday
basis).
At the completion of the summary spin, Nasdaq will disseminate an End of Summary
Spin (Category C – Type S) control event.
Once the spin process is complete, Nasdaq will immediately resume processing of
incoming price updates from NFN pricing agents on a real-time basis.
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9.5.4 Intra-Day Updates for Corporate Action Data
During the NFN session, Nasdaq will disseminate Corporate Action –
Dividend/Interest and Corporate Action – Distributions messages via NFN Data
Service as the data is entered into the NFN system. Using the Corporate Action
messages, firms may report dividends, interest payments, and other distributions for
the past and future business dates as well as the current business dates.
Because Nasdaq allows for future reporting of corporate actions, firms must be
prepared to process Corporate Action corrections and cancellations. Nasdaq will use
the Action field within the message format to denote if the Corporate Action is a new
entry, corrected entry or cancelled entry.
9.5.5 NFN Summary Spin Transmission – Corporate Action
Data
Nasdaq support a recap spin process for NFN Corporate Actions – Dividend / Interest
(Category F – Types Y, W) and NFN Corporate Action – Distributions (Category F –
Types Z, Y) message formats. The Corporate Action spin is designed to ensure that
firms have a record of previously reported Dividend / Interest and Capital
Distribution records with the current day’s Ex-Date. The Corporate Action spin will be
disseminated at approximately 7:15 a.m., ET, as part of the pre-opening process.
Please note that Nasdaq will also support an Ex-Date Report via the secured NFN
website and NFN Daily List web service.
9.5.6 Net Change Calculation
Nasdaq does not provide net change values on the NFN Data Service data feed.
Firms that wish to display net change data will need to calculate the value on their
end.
For most situations, the Net Change calculation should be:
For mutual funds, money market funds, annuities, AIPs, NextShares, collective
investment trust, managed accounts, separate accounts, hedge funds, and demand
deposit accounts:
Net Change = Current NAV – Prior Day’s NAV
For UITs:
Net Change = Current Redemption Price – Prior Day’s Redemption Price
With the following exceptions, the Prior Day’s NAV and Prior Day’s Redemption Price
may be sourced from the final summary spin on the prior trading day for most NFN
instruments.
If the Prior Day’s NAV / Redemption Price = NA (null), please do not calculate
or show a net change value.
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If the Prior Day’s NAV / Redemption Price is updated during the current
trading day, please use the corrected value as the basis for the net change
calculation.
If NFN instrument is reported with an ex-distribution footnote code, please
adjust the NAV for cash dividends, special cash dividends, stock dividends
and/or capital gain distributions.
9.6 Fund Display Guidelines
For all instruments, Nasdaq strongly recommends that market data vendors disclose
the Instrument Code and Instrument Registration on displays and other downstream
data products.
For Money Market Funds, Nasdaq also strongly recommends that market data
vendors display those data fields outlined in the Securities and Exchange
Commission (SEC) Money Market Reform Act:
Symbol
Average Maturity
Average Life
Net Asset Value (NAV)
Gross 7 Day Yield
Subsidized 7 Day Yield
Total Net Assets
Calculation Time
For Mutual Funds, Annuities, Structured Products, AIPs, NextShares,
Collective Investment Trusts, Managed Accounts, Separate Accounts, Hedge
Funds, and Demand Deposit Accounts, Nasdaq recommends that market data
vendors display the following field values:
Symbol
Net Asset Value (NAV)
Offer / Market Price
Total Net Assets
Income Distributions (Dividends and Interest)
Capital Distributions (Short Term Gains, Long Term Gains, Unallocated
Distributions and Return of Capital)
For UITs, Nasdaq recommends that market data vendors display the following field
values:
Symbol
Redemption Price
Offer Price
Wrap Price
Total Net Assets
Income Distributions (Daily Dividends, Dividend/Interest)
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Capital Distributions (Short Term Gains, Long Term Gains, Unallocated
Distributions and Return of Capital)
Please note that NFN Data Service distributors are asked to display NAVs to the
provided granularity. Under the SEC Money Market Reform Act, NFN pricing agents
are expected to calculate and report floating NAVs to 4 decimal digits. For UITs,
structured products and AIPs, Nasdaq regularly sees NAVs / Redemption Price to the
full 6 decimal digits supported on the NFN system.
For Income Distributions, Nasdaq recommends that firms display the Total Cash
Distribution value from the Category F – Types Y, W message format on ex-date and
the Daily Dividend from the Category F – Types E, F, G, I message formats on entry
date.
For Capital Distributions, Nasdaq also recommends that firms display the values on
ex-date. Within the Distribution message, NFN Data Service breaks out capital gains
information into four separate fields: (1) Short-Term Capital Gains, (2) Long-Term
Capital Gains, (3) Unallocated Distributions and (4) Return of Capital. If a vendor
chooses to display only one capital gains field, Nasdaq recommends that the day’s
values from the four capital gains fields be aggregated by the vendor and displayed
as “Total Capital Gains.”
For those firms that display historical data, Nasdaq recommends that they add
separate fields marked “historical” or “year-to-date” for previously reported
distribution information.
As noted above, Nasdaq also reminds market data vendors to factor income and
capital distributions into net change calculations on ex-date.
10.0 General Administrative Messages
Nasdaq uses administrative messages to communicate Nasdaq Fund Network daily
statistics and NFN symbol directory messages. In addition, Nasdaq supports a free-
form text message for those items that do not lend themselves easily to a fixed
format message format. The field layouts for these messages are outlined in Section
6 of this document.
10.1 General Administrative Messages
The General Administrative Message (Category A – Type A) is a free form text
message used to notify NFN Data Service subscribers of special situations,
operational or regulatory conditions. The length of the Administrative Message is
variable but cannot exceed a maximum of 300 characters. Nasdaq will generate the
General Administrative Message format on an as-needed basis.
Since the General Administrative Message is a flexible format message, it is up to the
individual data feed subscriber to decide how to process these messages. Firms may
wish to code their systems to generate a systems alert for data operations as manual
processing of the General Administrative message may be required.
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10.2 Mutual Fund Statistics
The Nasdaq Fund Network Statistic Message (Category A – Types G) is designed to
relay the number of funds reporting select price information data during the current
business day. This statistics message is disseminated immediately following the
summary spin.
The Statistic message contains the following data elements:
Total number of Open and Closed End Mutual Fund currently registered with
NFN for the news media list or supplemental lists.
Total number of Open and Closed End Mutual funds that have reported NAV
data for the current business day.
Total number of Money Market Funds currently registered with NFN for the
News Media or Supplemental lists.
Count of Money Market Funds that have reported 7 Day Yield for the current
business day.
Total number of Debt UITs and Equity UITs registered with NFN.
Count of Debt UITs and Equity UITs reporting Redemption NAV values for the
current business day.
Total number of Structured Products, Variable Annuities, AIPs, NextShares,
Collective Investment Trust, Managed Accounts, Separate Accounts, Hedge
Funds, and Demand Deposit Accounts registered with NFN.
Count of Structured Products, Variable Annuities, AIPs, NextShares, Collective
Investment Trust, Managed Accounts, Separate Accounts, Hedge Funds, and
Demand Deposit Accounts that have reported NAV data for current business
day.
Please note that NFN test symbols are omitted from the NFN statistical calculation.
10.3 NFN Symbol Directory
The NFN Symbol Directory message (Category A – Types I, J) will be used to relay
basic information (such as instrument type / tier, instrument code, expected pricing
frequency, symbol and instrument name) for those securities quoted via the Nasdaq
Fund Network (NFN) system. The NFN Symbol Directory also provides the exchange
MIC code and exchange ticker symbol for closed end funds and NextShares for
potential data mapping. As of June 5, 2017, the NFN Symbol Directory message will
also note U.S. regulatory agency for the instrument listing. The NFN Symbol
Directory message shall be disseminated as part of the pre-opening process on the
NFN Data Service data feed.
11.0 Format Release and Testing Information
11.1 Release Notification
To keep pace with the changing business environment, Nasdaq may modify its data
feed format specifications for direct data feed customers. In advance of each release,
Nasdaq will notify its direct connect customers of the format change via a news item
on the Nasdaq Trader web site. In the notice, Nasdaq will outline the scope of the
changes as well as the testing and release schedule. Direct connect customers are
required to modify and test their code based on Nasdaq notices. If you wish to
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receive automatic e-mail notification whenever a Data News / Data Technical News is
posted to the Nasdaq Trader web site, please send an e-mail request to Nasdaq
Global Information Services at [email protected].
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11.2 Types of Testing
In advance of each release, Nasdaq will offer test data for its direct data feed
customers to be used for quality assurance (QA) purposes. Depending on the scope
of the changes, the testing period will range from one day to one month. For its data
feed customers, Nasdaq offers the following types of testing opportunities:
Evening test transmissions: For its evening testing opportunities, Nasdaq creates
sample messages in the new formats to be broadcast on select weeknights from
9:05 p.m. to 10:05 p.m., ET. To generate the sample data, Nasdaq creates a test
script to exercise the full range of values for the affected message formats.
Saturday production tests: In advance of major releases, Nasdaq will conduct
user acceptance tests (UATs) on select Saturdays for its market participants. As
market participants enter information into its production systems, Nasdaq will
broadcast this test data in the new data formats to direct data feed subscribers
only. Prior to each UAT, Nasdaq will post a Data News / Data Technical News with
the registration information.
For a list of upcoming testing and release dates for Nasdaq data feed subscribers,
please refer to the “Release Schedule” section of the Nasdaq Trader web site.
Nasdaq strongly recommends that all direct subscribers use these testing
opportunities to check their hardware and software applications. During the
testing phase, Nasdaq Global Information Services may ask market data vendors or
market participants to provide status updates and/or submit testing verification
forms as part of the QA process.
1.1 Identification of test data
During normal operational hours, Nasdaq may disseminate test symbols via NFN
Data Service. Nasdaq will identify test symbols via the Test Symbol Flag value of “T”
in the NFN Data Service message header.
During non-market hours, Nasdaq will broadcast unmarked test data on its direct
data feeds. For test transmissions that occur outside market hours, Nasdaq may use
live symbols for testing purposes. Nasdaq, therefore, recommends that NFN Data
Service subscribers take precautions to protect their systems against database
corruption during evenings, weekends, and market holidays. Please refer to the
Appendix B of this document for the current data feed transmission schedule.
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Appendix A – Glossary of Terms
Term Definition
12b-1 Fee A mutual fund fee, named for the SEC rule that permits it, used to
pay for distribution costs (such as advertising and dealer
commissions). If a fund has a 12b-1 fee, it will be disclosed via the
footnote field in the NFN Data Service message format.
Alternative
Investment
Product (AIP)
An alternative investment is an investment product other than
traditional investments such as stocks, bonds or cash. While there
are numerous definitions for AIPs, Nasdaq will use the same AIP
classifications as DTCC: Fund of Hedge Funds, Managed Future
Funds, Commodity Pool Funds, Non-Traded REITs, Non-Traditional
Hedge Funds (Registered) and Private Equity Offerings.
Annuity A financial product sold by financial institutions that is designed to,
upon annuitization, pay out a stream of payments.
Assets The current dollar value of the pool of money shareholders have
invested in a fund.
Bid Price The price at which a mutual fund’s shares are redeemed by the
fund. The bid price is usually the current net asset value per share.
Business
Development
Company
(BDC)
A type of closed-end investment company for the purpose of
making capital more readily available to small, developing, and
financially troubled companies that do not have ready access to
the public capital markets or other forms of conventional financing.
Please refer to the SEC website for BDC rules.
Capital Gain The profits distributed to shareholders that result from the sale of
securities held in the fund portfolio.
Collective
Investment
Trust (CIT)
A Collective Investment Trust (CIT) is operated by a bank or trust
company and handles a group of pooled trust accounts.
Collective investment funds group’s assets from individuals and
organizations to develop a larger, diversified portfolio. There are
two types of funds: A1 funds are grouped assets contributed for
the purpose of investment or reinvestment, and A2 funds are
grouped assets contributed by trusts exempt from federal income
tax.
Closed-End
Fund
A type of investment company that has a fixed number of shares
that are publicly traded. The price of a closed-end fund share
fluctuates based on investor supply and demand in the
marketplace. Closed-end funds may be traded on an equity
exchange (such as NYSE, NYSE Amex, or Nasdaq) or over-the-
counter.
Demand
Deposit
Accounts
A demand deposit is an account with a bank or other financial
institution that allows the depositor to withdraw his or her funds
from the account without warning or with less than seven days'
notice. Demand deposits are a key component of the M1 money
supply calculated by the Federal Reserve.
Distribution The payment of dividends and capital gains to shareholders.
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Term Definition
Hedge Funds Hedge funds are alternative investments using pooled funds that
employ numerous different strategies to earn active return,
or alpha, for their investors. Hedge funds may be aggressively
managed or make use of derivatives and leverage in both domestic
and international markets with the goal of generating
high returns (either in an absolute sense or over a specified market
benchmark). It is important to note that hedge funds are generally
only accessible to accredited investors as they require less SEC
regulations than other funds. One aspect that has set the hedge
fund industry apart is the fact that hedge funds face less regulation
than mutual funds and other investment vehicles.
Interval Fund An interval fund is a type of investment company that periodically
offers to repurchase its shares from shareholders. That is, the fund
periodically offers to buy back a stated portion of its shares from
shareholders. Shareholders are not required to accept these offers
and sell their shares back to the fund.
For more information, refer to
http://www.sec.gov/answers/mfinter.htm.
Investment
Company
A corporation, trust, or partnership that invests pooled shareholder
dollars in securities appropriate to the organization’s objective.
Mutual funds, closed-end funds, and unit investment trusts are
three types of investment companies.
Long-Term
Funds
The mutual fund industry designation for all funds except money
market funds. Long-term funds are broadly divided into equity
(stock) or bond and income funds.
Managed
Accounts
A managed account is an investment account that is owned by an
individual investor and overseen by a hired professional money
manager. Managed accounts are personalized investment portfolios
tailored to the specific needs of the account holder. Managed
accounts typically include separately managed accounts (SMA) and
Unified Managed Accounts (UMA).
Management
Fee
The amount paid by a mutual fund to the investment adviser for its
services.
Maturity The date by which an issuer promises to repay the bond’s face
value.
Money Market
Funds
A mutual fund with a portfolio of short-term investments with
maturities of one year or less. Also known as short-term mutual
funds.
NextShares
Exchange
Traded
Managed Funds
NextShares Exchange Traded Managed Funds are a new exchange-
listed and exchange-traded asset class that launched in February
2016. For more information, visit the NextShares website at
http://www.nextshares.com.
Open-End
Mutual Fund
An investment company that stands ready to buy back its shares
at their current NAV.
Net Asset Value
(NAV)
The per share value of a mutual fund, found by subtracting the
fund’s liabilities from its assets and dividing by the number of
shares outstanding.
No Load Fund A mutual fund that sells shares without a sales commission or
without a 12b-1 fee of more than 0.25 percent per year.
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Term Definition
Offer Price The price at which a mutual fund’s shares can be purchased. The
offer price includes the current net asset value per share plus any
sale charges.
Operating
Expenses
Business costs paid from a fund’s assets before earnings are
distributed to shareholders. These costs include management fees,
12b-1 fees, and other expenses.
Pooling The basic concept behind mutual funds, in which a fund aggregates
the assets of investors who share common financial goals. A fund
uses the investment pool to buy a diversified portfolio of
investments, and each mutual fund share purchased represents an
ownership interest in the fund’s underlying securities.
Portfolio A collection of securities owned by an individual or an institution
(such as an investment company) that may include stock, bonds,
money market, or derivative securities.
Portfolio
Manager
A specialist employed by a mutual fund’s adviser to invest the
fund’s assets in accordance with pre-determined investment
objectives.
Redemption
Price
The amount per share that a NFN instrument’s shareholders
receive if they cash in their shares. The value of a NFN
instrument’s shares depends on the current market value of its
underlying investment portfolio at the time.
SEC Money
Market Reform
Act
The U.S. Securities and Exchange Commission (SEC) enacted a
series of rules to increase transparency of, and address the risk of
investor runs in, money market funds. The SEC Money Market
Reform Act was initially adopted in 2010 and focused on yield and
maturity calculations for money market funds. The SEC Money
Market Reform Act was amended in July 2014 to include floating
net asset value (NAV) calculations for institutional prime money
market funds and new tools – liquidity fees and redemption gates
– to address runs in non-government money market funds. For
details, please refer to
http://www.sec.gov/News/PressRelease/Detail/PressRelease/1370
542347679.
Separate
Accounts
A separate account is a privately managed investment account
owned by an investor seeking to manage a pool of individual
assets. Separate accounts are typically opened through
a brokerage or financial advisor. They may also be held at a bank or opened with an insurance company.
Structured
Products
Structured products are financial instruments designed to facilitate
highly customized risk-return objectives.
Total Return A measure of a fund’s performance that encompasses all elements
of return: dividends, capital gains, and changes in net asset value.
Total return is the change in value of an investment over a given
period, assuming reinvestment of any dividends and capital gain
distributions. Total return is expressed as a percentage of initial
investment.
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Term Definition
Unit
Investment
Trust (UIT)
An investment company that buys and holds a fixed number of
shares until the trust’s termination date. When the trust is
dissolved, proceeds are paid to shareholders. A UIT has an
unmanaged portfolio. Like a mutual fund, shares of a UIT may be
redeemed on any business day.
Yield A measure of net income (dividends and interest) earned by the
securities in the fund’s portfolio less the fund’s expenses during a
specified period. A fund’s yield is expressed as a percentage of the
maximum offer price per share on a specified date.
Data Feed Release Terms:
Term Definition
Hot Cut A product release in which Nasdaq replaces an
existing message format with a new message format
on a given date. Once the new format is implemented,
Nasdaq ceases support for the old data format. The
majority of Nasdaq product changes are “hot cut”
releases.
Parallel Period A product release in which Nasdaq is phasing in a new
message format to replace an existing message. In
this implementation strategy, Nasdaq provides firms a
period of time during which to migrate to the new
message format before the old data format is
discontinued. Nasdaq typically offers a parallel period
only for major data releases involving multiple data
feed products and/or network platforms.
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Appendix B –Transmission Schedule Note: All times referenced are approximate and are stated in US Eastern Time. This transmission schedule is based on a normal trading day. Nasdaq reserves the right to alter this schedule as necessary with minimal advance notice.
Time Transmission Message Category
Message Type(s)
Originator ID
Session ID
5:00 Start of Day Message C I E A
5:01 Start of Day Message C I E A
5:02 Start of Day Message C I E A
5:03 Line Integrity Messages C T E A
(Disseminated at 1 minute intervals throughout the operational day)
7:15 Symbol Directory Message Spin A J, K F A
7:15+ Corporate Action Pre-Opening Spin – Current Day’s Ex Date
F W, X F A
8:00 Primary Session Open C F F P
9:00 to Fund Price Updates F G, I, W, X F P
20:00 (Real-time messages as data is entered into NFN)
18:05 Start of Summary Spin Control Message for NFN Data Service Spin #1
C P F P
18:05 NFN Statistics for NFN Data Service Spin #1 A G F P
18:05 – 18:06
NFN Summary Spin #1 (Intended for use by print news media with 6:05 p.m.
deadlines)
F
G, I
F
P
18:06 End-of-Summary Spin Control Message for NFN Data Service Spin #1
C S F P
18:25 Start of Summary Spin Control Message For NFN Data Service Spin #2
C P F P
18:25 NFN Statistics for NFN Data Service Spin #2 A G F P
18:25 – 18:26
NFN Summary Spin #2 (Intended for use by print news media with later
deadlines)
F G, I F P
18:26 End-of-Summary Spin Control Message for NFN Data Service Spin #2
C S F P
18:45 Start of Summary Spin Control Message
For NFN Data Service Spin #3
C P F P
18:45 NFN Statistics for NFN Data Service Spin #3 A G F P
18:45 – 18:46
NFN Summary Spin #3 (Intended to correspond to NextShares End-of-Day
Trade Processing Timing)
F G, I F P
18:46 End-of-Summary Spin Control Message for NFN Data Service Spin #3
C S F P
20:00 NFN Session Close C E F P
20:00 Start of Summary Spin Control Message C P F P
20:00 Final NFN Statistics message A G F P
20:00 – 20:01
Final NFN Summary Spin (Intended for firms that need final daily prices)
F G, I F P
20:01 End-of-Summary Spin Control Message for Final
Spin
C S F P
20:05 End of Day Message C J E A
20:06 End of Day Message C J E A
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Time Transmission Message Category
Message Type(s)
Originator ID
Session ID
20:07 End of Day Message C J E A
20:17 End of Retransmission Requests Message C K E A
20:18 End of Retransmission Requests Message C K E A
20:19 End of Retransmission Requests Message C K E A
20:24 End of Transmissions Message C Z E A
(Time is approximate – Delayed when retransmissions still active)
20:25 End of Transmissions Message C Z E A
20:26 End of Transmissions Message C Z E A
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Appendix C – Date/Time Translation Table
The following translation table is used to represent the Date and Time Stamp
fields located in the Message Header of each NFN Data Service message.
TIME ASCII HEXADECIMAL DECIMAL
0 0 30 48
1 1 31 49
2 2 32 50
3 3 33 51
4 4 34 52
5 5 35 53
6 6 36 54
7 7 37 55
8 8 38 56
9 9 39 57
10 : 3A 58
11 ; 3B 59
12 < 3C 60
13 = 3D 61
14 > 3E 62
15 ? 3F 63
16 @ 40 64
17 A 41 65
18 B 42 66
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DATE/TIME TRANSLATION TABLE
TIME ASCII HEXADECIMAL DECIMAL
19 C 43 67
20 D 44 68
21 E 45 69
22 F 46 70
23 G 47 71
24 H 48 72
25 I 49 73
26 J 4A 74
27 K 4B 75
28 L 4C 76
29 M 4D 77
30 N 4E 78
31 O 4F 79
32 P 50 80
33 Q 51 81
34 R 52 82
35 S 53 83
36 T 54 84
37 U 55 85
38 V 56 86
39 W 57 87
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DATE/TIME TRANSLATION TABLE
TIME ASCII HEXADECIMAL DECIMAL
40 X 58 88
41 Y 59 89
42 Z 5A 90
43 [ 5B 91
44 \ 5C 92
45 ] 5D 93
46 ^ 5E 94
47 _ 5F 95
48 ` 60 96
49 a 61 97
50 b 62 98
51 c 63 99
52 d 64 100
53 e 65 101
54 f 66 102
55 g 67 103
56 h 68 104
57 I 69 105
58 j 6A 106
59 k 6B 107
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Appendix D – Intentionally Left Blank
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Appendix E – Version Control Information
Version Date Description of Documentation Change(s)
2003-1 10/10/2003 Initial Release of Mutual Funds Dissemination
Service (MFDS) user interface specification
document.
2003-1a 10/14/2003 Modified Test Cycle 5 and 6. The value for Income
Distribution and Capital Distribution was incorrectly
shown as 11 bytes. These have been modified to
their correct size of 9 bytes.
2003-1b 11/03/2003 Modified Test Cycle 6 – Equity UIT. The value for
Offer Price was incorrectly shown as 12 bytes and
has been modified to the correct size of 11 bytes.
2003-1c 11/11/2003 Modified Test Cycle 3 – Mutual Fund Regular
Release (Closed End Fund). The value for Offer
Price was incorrectly shown as 8 bytes and has
been modified to the correct size of 6 bytes.
2003-2 11/14/2003 Added NFN Data Entitlement information to Section
1.
2004-1 01/12/2004 Modified Section 8: Added an allowable value of “C”
(Previous day fund price correction) to the field
definition for Reporting Period.
2004-1a 03/15/2004 Modified Section 8: Revised the definition for Entry
Date as follows:
8 bytes, Alphanumeric. This field denotes the date
associated with the price information in the fund
message. If the date is earlier than the current
business date, the message should be used to
correct the historical database record for the fund.
The field formats are as follows:
o If an entry date is entered, the value will be
stated in the following numeric format:
MMDDYYYY. In this value, the first two bytes
represent the month (01-12), the next two
bytes represent the day of the month (01-
31), and the last four bytes represent the
year of the payment date.
o If no entry date is entered, the field will either
be space filled or contain the value of “NA”.
When this field is populated this way the
intent is for the transaction to represent data
for the current trading day.
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Version Date Description of Documentation Change(s)
2004-1b 05/25/2004 Modified Section 8: Revised the definition for
Footnotes. This field value is now defined as a float-
position value. Also added the following note to the
field definition:
Note: The position of a footnote(s) in the dissemination of the data will be consistent with the Nasdaq information processed from the front-end host funds data entry
system to the NFN Data Service journal file to the NFN Data Service broadcast. For example, if only one value is apparent in the field, it may be disseminated in any of the five positions of the field.
2004-1c 12/21/04 Updated document to reflect new extranet
connectivity options.
2005-1 3/7/05 Updated document to reflect the new NFN session
closing time of 18:00.
2007-1 12/20/07 Updated document to reflect the new second
session start time of 18:15 and the new second
session closing time of 20:00.
2008-1 9/30/2008 Updated phone numbers and email addresses for
Nasdaq departments.
Updated eligibility requirements for NFN
Supplemental List.
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Version Date Description of Documentation Change(s)
2008-2 10/17/2008 Updated overview to reflect that NFN is now
operated by Nasdaq Information LLC (rather than
The NASDAQ Stock Market LLC).
Updated references throughout the document to
reflect the new corporate name “Nasdaq”. Also
updated phone numbers and email addresses for
Nasdaq departments.
Increased the bandwidth allocation for NFN Data
Service to 500 Kb (from 56 Kb), effective first
quarter of 2009.
Added a NFN Valuation – Mutual Fund format. New
format, which includes an assets field, will replace
the Mutual Fund Regular Release message format in
first quarter of 2009.
Added a NFN Valuation – Money Market Funds
message format to be released in 2009. New format
will allow NFN to support prior day corrections for
this fund class.
Revised the NFN Statistics message to add new
instrument type fields. New message will be
released in first quarter of 2009.
Updated the list of allowable values for the Fund
Codes and Fund Type fields to reflect the addition of
the following instrument types to the NFN system in
first quarter of 2009:
o Annuities
o Structured Notes
Removed the NFN Data Service test cycle
transmissions from the service.
2008-2a 10/30/2008 Revised the NFN Valuation – Money Market Fund
verbiage to reflect that the new Category F – Type
H message format will be included in the first
quarter 2009 release.
2008-2b 11/20/2008 Modified upcoming release section to clarify the
format changes to be released / replaced in second
quarter of 2009.
Changed release date to February 9, 2009.
2008-2c 12/11/2008 Modified primary session closing time from 6:00
p.m. to 6:05 p.m., ET, throughout document. The
new 6:05 p.m. cut-off time will take effect on
February 9, 2009, as part of larger NFN Data
Service release.
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Version Date Description of Documentation Change(s)
2008-2d 1/15/2009 Modified the NFN Data Service release information
for the 1st Quarter 2009
o Operational changes – such as the NFN
primary reporting period closing time change
and the NFN Data Service bandwidth
allocation increase – will be implemented on
February 9, 2009
o Format changes – such as the new NFN
valuation messages for mutual funds and
money market funds – will be moved to
March 2, 2009
2009-1 5/20/2009 Added NFN release information for temporary
footnote code release planned for 3rd Quarter 2009.
Updated field descriptions for footnotes to include
the new temporary values for those funds with
prices outside the current NFN Data Service field
size limitations.
Updated section 1 to highlight Nasdaq Trader self-
enrollment feature
Added link to the IP multicast address page on
Nasdaq Trader.
Removed references to NFN Data Service message
formats retired in March 2009.
2009-2 6/20/2009 Added NFN release information for the session
changes planned for 4th Quarter 2009.
Expanded temporary footnote code definitions rules
based on customer input.
2009-2 7/28/2009 Added note in release section that Nasdaq is
eliminating the “indicative” price indicator display
guideline in association with the November 16,
2009 release.
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Version Date Description of Documentation Change(s)
2010-1 7/1/2010 Updated document to reflect new NFN Data Service
messages to be released on or about June 13,
2011.
The data format mapping for the release is as
follows:
NFN Data Service Message Format
New Messages To Be Released
Old Messages To Be Retired
Message Category
Message Type
Message Category
Message Type(s)
NFN Valuation – Mutual Funds, Unit Investment Trusts, Annuities and Structured Products
F E F D, G, I
NFN Valuation – Money Market Funds
F F F H
NFN Corporate Actions – Dividends / Interest for All Instruments
F Y F D, G, I
NFN Corporate Actions – Distributions for All Instruments
F Z F D, G, I
NFN Directory A D A F
Refer to Section 5 for the field level mapping for
the release.
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Version Date Description of Documentation Change(s)
2010-1 8/17/2010 Fixed the following documentation errors related to
the next NFN Data Service release:
Page Number(s)
Field Name Correction
19, 24 Accrued Interest
Field added to NFN Valuation – Mutual Funds, UITs, Annuities, Structured Products and AIPs message format (before Daily Dividends). Inadvertently omitted from original document.
24, 25 Action Field added to both Corporate Action message formats (as last field in message). Inadvertently omitted from original document.
[See correction below]
19, 24 Daily
Dividend Factor
Adjusted field name from “Daily
Dividend” to “Daily Dividend Factor” within the NFN Valuation – Mutual Funds, UITs, Annuities, Structured Products and AIPs message format to match the rest of the document.
24 Stock
Dividend Factor
Field size should be 11 bytes.
27 Pricing
Frequency
Adjusted field name from
“Reporting Frequency” to “Pricing Frequency” within the NFN Directory message to match the rest of the document.
Field
Occurrence Table (32)
Listing
Market Center
Corrected table to remove the
F/E message under the new data format column header. With next release, the Listing Market Center will appear in the NFN Directory only.
Field
Occurrence Table (32)
Redemption
NAV Net Change
Corrected table to remove the
F/E message under the new data format column header. With next release, this field will be omitted.
Field
Occurrence Table (33)
Structured
Product List
Adjusted field name from
“Structured Product Count” to “Structured Product List” to match the rest of the document.
37 Cash Distribution Type
Field appears in the Corporate Action – Dividend / Interest message format (not the Corporate Action – Distributions
message format).
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Version Date Description of Documentation Change(s)
2010-1 9/27/2010 Updated release date for NFN data format release.
Fixed following documentation errors:
Page Number(s)
Field Name Correction
24, 25 Corporate Action Reporting Type
Added definition for this field. Field indicates if corporate action is being reported, being corrected, or being cancelled.
Note: Removed duplicate “Action” field value.
2010-1 9/30/2010 In the previous version of the NFN Data Service
documentation, Nasdaq had intermixed terms like
“Reporting Type”, “Reporting Period” and
“Reporting Session”. To rectify the issue, Nasdaq
made the following documentation edits:
Page Number(s)
Field Name Correction
14, 76 Session Control messages
Changed definitions for the NFN Session Open and NFN Session Close messages. These Session Control messages are intended to signal the start and end of the NFN – U.S. Hours of Operation. Currently, the NFN – U.S. session runs from 9 a.m. to 8 p.m., ET.
Prior to November 2009, Nasdaq had broken up the U.S. Operational Day into two sub-sessions (which it called sometimes called “reporting periods”). With the elimination of the sub-sessions, Nasdaq should have removed the term “reporting period” from the control message definitions.
32, 66 Reporting Type
Nasdaq had intermixed “Reporting Type” and “Reporting Period” within the documentation for the valuation message field that delineated real-time updates from end of day summary messages. With the expansion of values for this field, Nasdaq believes that “Reporting Type” term is more appropriate.
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Version Date Description of Documentation Change(s)
2010-1 1/14/2011 Updated the NFN release date for the new valuation
and distribution messages to Monday, May 23,
2011.
Updated section 8.6 - Fund Display Guidelines to
reflect the NFN 0050 data format changes.
2010-1 1/28/2011 Corrected the total message length for the
Dividend/Interest and Capital Distribution message
formats.
2010-1 2/1/2011 Added section 8.5.2 on the Net Change field
population logic that outlines the multiple
limitations in the current Nasdaq net change
calculation process.
2010-1 5/11/2011 Clarified processing logic for the following fields:
o 30 Day Yield Date: Added bullet for NA
processing when associated yield value is
populated as a numeric value.
o Cash Distribution Type: Added note to
indicate that the Cash Distribution Type field
should be space-filled in situation where only
a stock dividend is being reported.
2010-1 May 18,
2011
Updated the NFN release date for the new valuation
and distribution messages to Monday, June 13,
2011.
Added section 8.5.7 on Net Change Calculation.
2010-1 May 25,
2011
Updated NFN Dividend/Distribution and Capital
Distribution processing sections to reflect the
Corporate Action Reporting Type value of “E” for the
ex-date spin. Please note that Nasdaq plans to
support the “E” in the NFN Data Service messages
beginning Tuesday, June 14, 2011 or as soon as
there are adequate advanced entries of corporate
action data. For the pre-opening spin, the session
ID will be “A”.
Nasdaq Information, LLC NFN Data Service Interface Specifications
Appendices
Version 2018-4 Page 89
Version Date Description of Documentation Change(s)
2013-1 January 14,
2013
Removed discontinued NFN Data Service message
formats and references from document
Added new Fund Type and Fund Category field
values for Alternative Investment Product (AIP)
securities to be supported on the NFN system
beginning March 2013.
Added new “C” footnote code value for Revaluation
of Asset situations.
Updated NFN Daily Statistics message format to
add AIP List and AIP Reporting fields. Updated
message format will be disseminated as Category A
– Type E as of March 2013.
Updated NFN Fund Directory message format to
expand Fund Name field size to 150 characters.
Updated message format will be disseminated as
Category A – Type F as of March 2013.
Updated NFN Daily List information in Fund ID field
descriptions.
Updated Nasdaq Global Data Products / Nasdaq
Global Information Services mailing address on
cover page.
Removed references to the Equity Symbology
Initiative (ESI) as there is currently no defined plan
or timeline for implementation.
2013-2 May 18,
2013
Removed discontinued NFN Data Service message
formats and references from document
Updated Daily Dividend Factor field format to
denote that the inbound price format will be
changed from $$$$.dddd to $$.dddddd in the third
quarter of 2013.
Added new Cash Distribution Type of “S” for Special
Cash Dividends.
2013-2 July 5, 2013 Updated Fund Code values for structured products
for third quarter 2013 release.
Updated release date to September 9, 2013 (from
August 19, 2013).
2013-2 August 13,
2013
Added two new Pricing Frequency field values: “S”
for Semi-Annual and “A” for Annual.
2013-2 October 25,
2013
Updated listing / eligibility requirements to reflect
that Nasdaq allows 529 plans registered with the
MSRB to use the NFN system.
Nasdaq Information, LLC NFN Data Service Interface Specifications
Appendices
Version 2018-4 Page 90
Version Date Description of Documentation Change(s)
2014-1 April 28,
2014
Added Test Symbol Flag to NFN Data Service
Message Header. As of August 11, 2014, Nasdaq
will repurpose “Reserved” field to be a Test Symbol
Flag.
Updated the following field names in the NFN Data
Service data feed specification document to be
aligned with other NFN documents and reports:
o NFN Symbol Directory (previously known as
NFN Fund Directory)
o Symbol (pka Fund ID)
o Instrument Name (pka Fund Name)
o Instrument Type / Tier (pka Fund Type)
o Instrument Code (pka Fund Code)
o Exchange Code for Listed Instruments (pka
Listing Market Code)
o Exchange Symbol For Listed Instruments (pka Listing Market Symbol)
o Action (pka Corporate Action Reporting Type)
o Stock Dividend Ratio (pka Stock Dividend
Factor)
Updated the allowable field values for Instrument
Code field for NFN instruments. As of August 11,
2014, Nasdaq will use the code “O” for open end
mutual funds and “C” for closed end mutual funds.
2015-1 January 7,
2015
Added the following Footnote values to be
supported in 2015:
Value Definition Instrument
Type
G Redemption gate in effect Money Market
Fund
I Repurchase offer period
for Interval Fund
Mutual Fund
L Liquidity fee in effect Money Market
Fund
Updated Net Change Calculation section to remind
firms to include dividend and distribution
adjustments on Ex-Date.
2015-1 March 2,
2015
Updated release date for new Footnote code values
to April 13, 2015.
Nasdaq Information, LLC NFN Data Service Interface Specifications
Appendices
Version 2018-4 Page 91
Version Date Description of Documentation Change(s)
2015-2 March 6,
2015
Added new NFN Data Service message formats for
NextShares Exchange Traded Managed Fund
release to be implemented in September 2015
timeframe. The new Message Category and
Message Type values will be as follows:
Message Name Message Category
Message Type
NFN Daily Statistics A G
NFN Symbol Directory A H
NFN Valuation Message – All Instruments Except Money Market Funds
F G
NFN Valuation Message – Money Market Funds
F H
NFN Dividend / Interest F W
NFN Capital Distributions F X
Updated Field Descriptions to reflect the following
formatting changes:
o Instrument Type / Tier field size will be
increased by 1 byte (to 2 bytes). Values will
be updated to match the NFN Daily List and
web-based report codes.
o Instrument Code will be supported on NFN
Symbol Directory message format only.
(Note: In future release, Nasdaq will look to
make the Instrument Code values specific to
the Instrument Type / Tier.)
o Par Value field was removed from NFN
Symbol Directory message format.
Added Field Descriptions for NextShares List (pka
ETMF List) and NextShares Reporting (pka ETMF
Reporting) fields that were added to the NFN Daily
Statistics message format.
Added NextShares to NFN symbology page.
Nasdaq Information, LLC NFN Data Service Interface Specifications
Appendices
Version 2018-4 Page 92
Version Date Description of Documentation Change(s)
2015-2 May 29,
2015
Updated NFN symbology for NextShares to be
seven characters with no delimiters.
Updated release dates for new NFN Data Service
messages to September 14, 2015.
Updated transmission schedules to reflect new NFN
system open time of 8:00 a.m., ET (as of
September 14, 2015).
Updated transmission schedule to add a new NFN
Data Service summary spin event at approximately
6:45 p.m., ET, as requested by the NextShares
trading venues. Also updated the new NFN
Statistics (Category A – Type G) message format to
add NFN Data Service Count field.
2016-1 March 7,
2016
Added NFN Valuation – Money Market Funds with
Calculation Time (Category F – Type I) message
format. This new message format will be released
on or about July 11, 2016.
Updated display guidelines to reflect intraday
processing rules under the SEC Money Market
Reform Act regulation.
2017-1 March 9,
2017
Removed out-of-date references and message
formats from document.
Added new NFN Symbol Directory with Instrument
Registration (Category A – Type J) message format
to document. Message will be released on June 5,
2017.
Added Instrument Codes values for Interval Fund
(Y) and Business Development Company (Z).
Updated NFN Data Service Display Guidelines to
include Instrument Code and Instrument
Registration fields.
2017-1 May 17,
2017
Updated retransmission email address to
[email protected]. Effective June 5, 2017, all
retransmission requests must be directed to this
email box.
2017-1 September
13, 2017
Added IEXG to U.S. Equity Exchange codes.
Nasdaq Information, LLC NFN Data Service Interface Specifications
Appendices
Version 2018-4 Page 93
Version Date Description of Documentation Change(s)
2018-1 January 12,
2018
Added Instrument Codes values for Collective
Investment Trust, Managed Accounts, Separate
Accounts, and Hedge Funds. Message will be
released on March 26, 2018.
2018-2 March 22,
2018
Added Instrument Codes values for Collective
Investment Trust, Managed Accounts, Separate
Accounts, and Hedge Funds to Field Occurrence
Matrix, Section 6.0
2018-3 April 24,
2018
Rebranded from MFDS to Nasdaq Fund Network
Data Service.
Removed out-of-date references and message
formats from document.
Added new NFN Symbol Directory with Expanded
Instrument Code (Category A – Type K) message
format to document. Message will be released on
August 20, 2018.
Added Instrument Code value for Demand Deposit
Accounts. Code will be released August 20, 2018.
2018-4 October 3,
2018
Removal of the historical data limit of 365 days.